AlephSys

VALUE AT RISK (Historical / Parametric / Monte Carlo) :

Training objectives and Expertise outcome:

Acquisition of the basic theories of risk monitoring through VaR.

Mastering the methodology of risk monitoring through VaR

Content details:

Introduction to the concept of VaR:

 Definition - Hypotheses - Typology

Main approaches to calculating VaR:

 VaR History, Parametric VaR, VaR Monte Carlo

Calculation conditions for the VaR Parametric:

Criterion and advantage of normality

Calculation methodology on linear positions

The problem of optional non-linear positions

Asymmetry of the distribution function

Delta Normal and Delta Gamma approaches

Market Activity Risk Management Organisation:

Proportioning the Variance-Covariance Matrix

Cash Flow Mapping of positions

Back testing and Stress testing models - the Leptokurtosis problem

Risk control and applying limits

Teaching methods :

Presentations

Case studies

Practical information:

Training location: At our premises or the Client’s premises

2-day course dates: throughout the year, contact us.

Enrolment method: 

Minimum number of participants: 7

Maximum number of participants: 11

Cost per participant: Contact us to arrange a costing according to your needs