e-learning and reference solutions for the global finance professional

Value at Risk
Library of 16 courses providing an in-depth understanding of
Value at risk and its applications

Highlights

Library of 16 Courses

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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
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Overview
Value at risk is vital for banks, securities firms, commodity and energy merchants, and other trading organizations to be able to track their portfolios' market risk. It is a measure used by financial practitioners to quantify risk of a portfolio. The Course introduces the same and provides an up-to-date working knowledge of all aspects of VaR analysis, including the latest VaR models in theory and practice.

After completing this course you will be able to:

  • Define VAR and explain how it is used to quantify risk
  • Measure Value at Risk using various methods
  • Familiarize yourself with the profile of major vendors of risk management systems available in the market
  • Understand the benefits of Stress Testing as a complement to VaR
  • Understand and apply advanced volatility and correlation models such as GARCH and EMWA
  • Learn from the failures of Barings Bank, Orange County and Metallgesellschaft
  • Apply VaR into the context of managing capital and making strategic decisions such as capital allocation

Target Audience
Every professional involved in the global financial services industry (as a provider, user, regulator or advisor of product/services, marketplace/exchange) would benefit from KESDEE’s innovative solutions.

  • Supervisory Agencies

  • Central Banks

  • Financial Institutions

  • Commercial Banks

  • Investment Banks

  • Housing Societies/Thrifts

  • Mutual Funds

  • Brokerage Houses

  • Stock Exchanges

  • Derivatives Exchanges

  • Insurance Companies

  • Multinational Corporations

  • Accountancy Firms

  • Consultancy Firms

  • Law Firms

  • Rating Agencies

  • Multi-lateral Financial Institutions

  • Others

    •
    Course Level and Number of Courses
    Intermediate Level. Library of 16 Courses

    Instructional Method
    Dynamic, Interactive e-learning

    Recommended Background
    Familiarity with basic financial concepts

    To purchase this course online, visit: Link
    http://www.kesdee.com/coursedetails.jsp?productid=64&groupID=10

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      Library of 16 Courses
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    Value at Risk
    Time taken to complete each Course: Two - Three hours

    1. Review of Statistical Concepts

    • 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

    2. Value at Risk-I

    • 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


    3. Value at Risk-II

    • 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


    4. Application of Analytical Techniques

    • 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


    5. Regulatory Issues

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


    6. VaR Models

    • 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


    7. Stress Testing

    • 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


    8. Back Testing

    • The technique of backtesting
    • The different types of backtesting


    9. Risk Management Systems

    • 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

    10. Case Study - Orange County

    11. Case Study - Barings Bank

    12. Case Study - Metallgesellschaft

    13. Description of Advanced VaR Models

    • 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


    14. Advanced Measuring Volatility and Correlation

    • 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


    15. Advanced Scenario Analysis and Stress Tests

    • 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


    16. Risk Adjusted Performance Measurement

    • 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

    JOB AIDS

    • 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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