Value at Risk (VAR) Workshop
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.
Schedule
Session 1:
Purpose of risk management
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Outline of the key risks & control issues
Session 2:
Traditional measures of market risk
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Spot equivalency
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Basis point value
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Credit spreads
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Advantages/weaknesses
Session 3:
Standard statistical techniques
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Normal distribution
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Standard deviation / volatility
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Correlation
Session 4:
Diversification of risk
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Reducing risk for a given level of return
Session 5:
Calculation of value at risk
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Single position VAR
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Calculating daily VAR for a single position
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Effect of extending the time period
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What the VAR does and does not show
Session 6:
Extending VAR to a portfolio
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Effect of diversification
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How covariance changes portfolio VAR
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Difference between VAR and traditional measures
Session 7:
Practical application of VAR
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How we should look at VAR numbers
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What assumptions are made
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Why VAR is useful
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Some of the pitfalls of VAR
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Can VAR be used by traders?
Session 8:
Additional risk reports
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Why they are necessary additions to VAR
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Simulation
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Stress testing
Course Close
Register interest
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.