Value At Risk

This course establishes the building blocks of risk management (risk, return, normal distribution, correlation and volatility) and features practical, hands-on exercises and examples.

28-Jul-2008 -- 29-Jul-2008New YorkUSD$2375
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Mon Tue Level: Intermediate
CPE Credits: 7

10-Nov-2008 -- 11-Nov-2008New YorkUSD$2375
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Mon Tue Level: Intermediate
CPE Credits: 7

Risk managers and analysts, treasurers, pension fund managers, auditors, controllers, regulators, legal and compliance staff.
No advance preparation required.
Students will be able to:
  • Be exposed to the three methods of determining value at risk
  • Appreciate the benefits and be aware of the drawbacks of value at risk
  • Learn the many applications of value at risk in finance
Essentials of U.S. Capital Markets or equivalent knowledge of capital markets.
"Excellent interaction with students. Clear and concise answers"
"Complex subject explained in an easy-to-understand manner"
  • Risk Management Suite
    • Overview risk management
    • Galaxy of risks
    • Types of risks
    • Market risk measurements
    • Controlling risk
    • Qualitative vs. quantitative

    Value at risk

    • G-30 study

    Average and volatility

    • Average
    • Rate of return
    • Standard deviation
    • Volatility

    Probability

    • Simple probabilities
    • Probability distributions
    • Probability density function

    Normal distributions

    • Normal curve

    Standard normal curves and confidence levels

    • Standard normal distribution
    • Standard normal table
    • Confidence levels
    • Using z-scores to determine minimum return

    Value at risk

    • Calculation
    • Interpretation
    • Factors impacting VaR
    • Adjustment for time

    Value at risk methodologies

    • Variance-covariance

    Correlation and covariance

    • Correlation
    • Correlation and risk
    • Calculation of correlation
    • Correlation and covariance
    • Correlation matrix
    • Variance-covariance matrix
    • Calculation of variance
    • Portfolio volatility

    Riskmetrics

    • What is it?
    • Advantages
    • Disadvantages

    Monte Carlo simulation

    • Calculating the path
    • Example IBM
    • Advantages
    • Disadvantages

    Historical simulation

    • Example IBM
    • Advantages
    • Disadvantages
    • Summary value at risk

    Options

    • Calls
    • Puts

    The Greeks

    • Delta
    • Var, Delta, Delta normal
    • Gamma
    • Duration and convexity
    • Theta
    • Vega

    Applications

    • Market risk limits
    • Risk adjustments
    • Verifying models
    • Capital requirements

    Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

    Lunch included for all students taking day classes.