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Learn about the following:
What VAR is. An introduction to how VAR works. The influence of volatility, time and confidence on VAR. The difference between diversified and undiversified VAR. The strengths and weaknesses of VAR. How regulators see VAR.
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1. What VAR is
2. How VAR works
3. Volatility and time
5. The strengths and weaknesses of VAR
6. Regulators and VAR
23rd January 2010
In a world where regulators are focusing on liquidity and capital it's easy to overlook market risk. In many firms this means interest rate exposure. In the UK with Bank Rate at an all time low it's tempting to think that hedging fixed rate assets is just a waste of money. After all why pay 3.25% on a 5 year swap when 3 month Libor is only 51 basis points? Surely matching the interest basis on assets and liabilities ends up costing you 274 bps doesn't it?
19th May 2011
Presentation: ALM Good Practices Seminar 18th May 2011