Training offers a powerful tool for disseminating and deploying your strategy. Contact our sales team to see how we can assist you in conveying your vision.
Choice of risk factors (Govt, interbank, corporate yield curves, notion of rating)
Discount factors
Zero-coupon rates
Mapping of future cash flows
Calculation of parametric VaR
Case studies
Use of sensitivities
Pros and cons
Historic VaR
Calculation principles
Yield of zero-coupons
Application exercises
Advantages and disadvantages
Lessons from the crisis
VaR extensions
Case of non Normal portfolios: C-VaR
Marginal VaR
Component VaR
Models overweighing recent data (EWMA, Arch/Garch)
Practical workshop
Monte Carlo VaR
General principles
Yield curve diffusion model
Examples
Advantages and disadvantages
VaR limitations and other indicators
Limitations of VaR models: invalidation of Normal distribution, volatility of volatility and correlation, quantile, calculation horizon, historical depth
Categories of stress tests: historical, theoretical, adverse, models
Notions of back-testing
Understand IR products risk factors and sensitivities
Know how to calculate the VaR of fixed-income books according to various methods
Know the advantages, disadvantages and limitations of each VaR method
Know the different methods to measure risk other than VaR
Pedagogic approach of the most important statistic tools used in risk management for fixed income
Global analysis of the fixed-income market during the crisis: practical approach based on all shapes of the yield curve
