In London (England)

£ 2,299 - (Rs 1,88,015)
VAT not incl.

Important information

  • Course
  • London (England)
  • When:

This cutting-edge training program me will provide you with invaluable practical information on VaR risk capital and regulatory developments as well as Key issues in risk governance, risk management and risk audits

Important information

Where and when

Starts Location
07 December 2016
6th Floor, 29 Bressenden Place, SW1E 5DR, London, England
See map

What you'll learn on the course

Risk Management
Cash Flow
Interest Rate Options
Fixed Income
IT risk
Management of Risk
Market Risk
Derivatives Trading
IT Management

Course programme

Agenda Summary VaR: Overview, Risk Capital & Regulatory Developments VaR Methodologies Historical Simulation (VaR/S) Variance-Covariance (Correlation) Matrix (VaR/P) VaRñMeasuring Market Risk: Variance-Covariance Analysis VaRñMonte Carlo Simulation: Cash Market Portfolio VaRñMonte Carlo Simulation: Options Portfolio VaRñMonte Carlo Simulation: Correlated Assets Portfolio Global Description of Risk: VaR A Sophisticated Approach to Measuring Interest Rate Risk A Two-Factor Approach for Interest Rate Derivatives Flowchart of Risk Management System Step-by-Step Worked Example - Actual Implementation in a Leading Bank Stochastic Two-Factor Model Value-at-Risk Reports: Swap, Cash, Bond Book Value-at-Risk Reports: Interest Rate Options Computer Workshops Understanding total risk (volatility measures) Historical simulation ñ Value-at-Risk reports Variance-Covariance (Riskmetrics) computations Variance-Covariance VaR reports for equity, fixed-income and derivatives trading portfolios Monte Carlo simulation - Value-at-Risk reports; Time compression issues Monte Carlo simulation applied to options portfolio; Appropriate use of BlackñScholes/Merton option pricing model Monte Carlo simulation applied to multiple assets portfolios; Modelling correlation; Cholesky decomposition Building one-factor stochastic yield curve model; Effects and implications for VaR analysis and reports Building two-factor stochastic yield curve model; Effects and implications for VaR analysis and reports Value-at-Risk for portfolios of nonlinear risk cash flow instruments: interest rate options (caps and floors) Value-at-Risk, PVBP and Risk Management Value-at-Risk for portfolios of linear risk cash flow instruments: cash, bonds and swaps

Additional information

Practical course