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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 - Equity Market & Investment
Companies
Value At Risk – Investment Companies:
Two days course
This program will first establish the building blocks of risk
management, risk, return, normal distributions, correlation
and volatility. Next, attention will turn to the measurement
of VaR and how it is used in a practical environment. Focus
will be on historical and Monte Carlo simulations. The program
will feature practical, hands-on exercises and examples. (It
is presented for the non- mathematically inclined.)
Course outline
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
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 1600
Certificates of Participation
Certificates of participation are remitted to course
participants upon request. |
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