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Our courses are intended for a global audience, with each one being completely customisable to suit the needs of the individuals it is being delivered to.

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Value at Risk (VAR) Workshop

  • Banking and Financial Markets, Retail Banking, Risk and Credit
  • Duration: One day
  • Information

    This one-day course examines the calculations behind VAR, how VAR can be used and some of its strengths and weaknesses. The workshop also explains why banks use additional risk management techniques to supplement VAR numbers in order to obtain a more comprehensive picture of the risks they face.

    Value-at-Risk (VAR) has become an accepted method of measuring risk for banks. It is increasingly used to set trading limits and to allocate capital. VAR uses standard statistical techniques and relies on particular distributions and correlations that are not always appropriate to financial assets.


    Session 1:

    Purpose of risk management

    • Outline of the key risks & control issues

    Session 2:

    Traditional measures of market risk

    • Spot equivalency

    • Basis point value

    • Credit spreads

    • Advantages/weaknesses

    Session 3:

    Standard statistical techniques

    • Normal distribution

    • Standard deviation / volatility

    • Correlation

    Session 4:

    Diversification of risk

    • Reducing risk for a given level of return

    Session 5:

    Calculation of value at risk

    • Single position VAR

    • Calculating daily VAR for a single position

    • Effect of extending the time period

    • What the VAR does and does not show

    Session 6:

    Extending VAR to a portfolio

    • Effect of diversification

    • How covariance changes portfolio VAR

    • Difference between VAR and traditional measures

    Session 7:

    Practical application of VAR

    • How we should look at VAR numbers

    • What assumptions are made

    • Why VAR is useful

    • Some of the pitfalls of VAR

    • Can VAR be used by traders?

    Session 8:

    Additional risk reports

    • Why they are necessary additions to VAR

    • Simulation

    • Stress testing

    Course Close

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    As every course we run is tailored to meet the specific needs of each client, we can only provide an estimate after fully understanding your specific requirements. Please complete the form below of call +44 (0) 208 894 4977 to discuss how Taylor Associates can help you.

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