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Risk Management
Total risk management is the combination of all the elements of risk management into a consistent strategy...
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Training - Commercial Banking
Market Risk:
2 days
Course Highlights
* VaR models and how to build them
* Regulations for risk capital
* GARCH, EWMA and historical models for volatility and
correlation
* Scenario analysis and stress simulations
* Non-normal market models and their impact on option pricing
models and VaR
Introduction to market risk
- Understanding the major sources of market risk
- Identifying main techniques for measuring risk
- Market risk regulations and Basel 2
Value-at-Risk models: from basics to latest developments
- Application to liquid equities and foreign exchange
- Challenges in Value at Risk in fixed income
- Applications to derivatives (Delta-Gamma)
- The need for Monte Carlo methods
- Why do different VAR models give such diverse results?
- Historical VaR and VCV methods
- Introducing alternative measures of risk
- Sensitivity based risk measures: PVBP and Beta
- Risk factors and sensitivities in options portfolios: the
Greeks
- The problem of non-normality
- Downside risk, regret and maximum loss
- Coherent risk measures and conditional VaR Extreme Value
Theory
- Copulas and non-linear dependence
Statistical methods for estimating and forecasting volatility
and correlation
- Uses and abuses of equally weighted moving averages
- Advantages and limitations of exponentially weighted moving
averages (RiskMetrics)
- Making GARCH models work for you
- Conceptual framework: stochastic volatility and conditional
heteroscedasticity
- Examining common pitfalls with estimating GARCH models
- Parameter stability, convergence of methods
- Validating volatility forecasts
- Statistical vs operational methods
- Methods for generating large covariance matrices: (EWMA and
GARCH)
- Factor Models
Course Fees
VAT to be included at the local rate, if applicable. Costs
shown are per delegate inclusive of refreshments, lunches and
seminar materials. Cost of accommodation is not included.
GBP 2500
Certificates of Participation
Certificates of participation are remitted to course
participants upon request. |
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