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Short courses>Value at risk

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Value at risk - 2 hours

A foundation course that explains value at risk, what it is, why it is calculated and its strengths and weaknesses.

It is suitable for those working in or around financial markets who need to know more.

There are simple examples with time for questions and answers.

This course is only available in-house and is suitable for up to 12 people.

This is what is covered:

  • Defining market risk
  • Traditional measures of market risk
  • Basis point value, (PV01)
  • What it is
  • Three methods
  • Historical simulation (full revaluation)
  • Variance Covariance, what it is
  • Monte Carlo
  • Some of the calculations involved
  • Single position VAR
  • Diversified & undiversified VAR
  • Strengths & weaknesses
  • Back testing – what it is & why we do it
  • Expected shortfall

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