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The themes of this product are:

• VaR as an integral part of risk management
  
• VaR as a measurement tool
  
• VaR to improve performance

Instructional Method
Dynamic, Interactive e-learning

Recommended Background
Familiarity with basic financial concepts

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• The various statistical measures viz., measures of central tendency and measures of dispersion
• The statistical relationship between the standard deviation and confidence intervals for normal distributions
• The concept of correlation and volatility and the methods to calculate them

• The concept of Value at Risk
• The concept of trading and banking book
• The various methodologies of estimating VaR and their strengths and weaknesses
• The comparison between the strength and limitation of VaR

• The computation of VaR of foreign exchange spot, foreign exchange options positions, common shares/stocks, fixed income portfolio including portfolio
• The various applications of VaR

• The framework of the analytical techniques - gap, duration, simulation and value at risk
• The concept and assumption under each technique
• The comparison and analysis of each technique across various parameters
• The application of techniques with real life case studies

• How market risk can be regulated
• The purpose of regulatory capital
• The various approaches applied to capital charges

• The various methods to measure value at risk such as parametric, historical simulation and monte carlo simulation
• The comparison among the various methods according to their characteristics, advantages and disadvantages
• The process of value at risk implementation

• The concept of stress testing as a complimentary tool to value at risk analysis
• The creation of hypothetical and historical scenarios
• The implementation of stress test scenarios into market risk modeling
• The growing use of stress testing to risk managers

• The technique of backtesting
• The different types of backtesting

• The important steps involved in the choice of risk management software vendor
• The main software solution vendors in the market; the products they offer and their salient features

• The various emerging forms of VaR viz., Component VaR and Del VaR
• The impact on individual trades on Total VaR using these forms
• The advancements in Monte Carlo Simulation
• The variance reduction techniques employed for Monte Carlo Simulation

• The concept of volatility and volatility clustering
• The conditional volatility models viz., Exponential Moving Average approach and GARCH
• The importance of time errors and the impact of crashes on correlation and its effect on VaR calculation

• The application of stress testing to a group of reporting firms through aggregation
• The various techniques like Maximum Loss and Extreme Value Theory
• How systematic stress testing is used with the help of stress test matrices

• The concept and need for risk adjusted performance measurement
• Risk capital and details of the measures for risk capital viz, revenue (or earnings) volatility, Earnings of Risk (EaR), and asset volatility - Value at Risk (VaR)
• The importance of capital allocation in risk adjusted performance measurement and the factors that affect them

• Measurement Tools
• Disclosures
• Global Best Practices
• Benchmarking Data
• Policy Templates

Calculators in Value at Risk

1. Duration
2. Confidence Level for a Given Standard Deviation
3. Standard Deviation for a Given Confidence Level
4. Value at Risk Variance –two asset portfolio
5. VaR for Required Period and Confidence Level
6. Undiversified and Diversified VaR
7. VaR of Equities
8. VaR of an FRA
9. Jensen’s Measure
10. Sharpe's Measure
11. Treynor's Measure
12. Variance Co-variance

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