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Value at risk - learn the following in 3 hours

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Introduction

Defining market risk

Traditional measures of market risk

Basis point value, (PV01)

Value at Risk

Where it comes from & why firms use it
What it shows
What it does not show
VaR limits on risk

Calculating VaR

Calculating daily VaR for a single position
The effect of time on VaR
The effect of confidence intervals on VaR
Diversified and undiversified VaR.

Additional risk reports & back testing

Simulation
Stress testing

Backtesting & VaR

Related Documents

Training Courses > Value at Risk

Training Courses > Balance Sheet Risk Management

Regulation > Does liquidity risk overshadow market risk?

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?