Market Risk Measurement and Management Course: Measure and Control the Market Risk Portfolios of Securities - Oslo, Norway - April 15-16, 2020 - ResearchAndMarkets.com

DUBLIN--()--The "Market Risk Measurement and Management" training has been added to ResearchAndMarkets.com's offering.

This course enables you to measure and control the market risk portfolios of securities. The course is aimed at employees who deal with risk management and control. The course will give you hands-on experience with measuring and managing market risk. You will learn about the traditional risk figures like duration, Beta, volatility and the option greeks as well as Value at Risk using the Delta Normal Approach and Historical Simulation. You will also learn how to back- and stress-test your portfolio.

Fundamental Review of the Trading Book

  • Value at Risk
  • Delta Normal Approach
  • Historical Simulation-based VaR
  • Delta VaR, Component VaR, and Incremental VaR
  • Duration and Key Rate Duration
  • Capital Requirements for Market Risk
  • The Greeks
  • Simple, Exponentially Weighted Moving Average and GARCH-volatility
  • Stress-testing and backtesting

Key Topics Covered:

April 15, 2020

09.00 Welcome and Introduction

09.15 Risk on Single Instrument

  • Overview of risks
  • Duration and convexity
  • Key rate duration
  • Stock risk and beta value
  • Option risk
    • Delta, Vega, Gamma, Theta, Rho
  • Mapping of instruments
    • Objective
    • Example with stocks, bonds, and derivatives

11.00 Volatility and Correlation

  • Assumptions using volatilities and correlations
  • Simple Moving Average
  • Exponentially Weighted Moving Average (EWMA)
  • GARCH - methods

12.00 Lunch

13.00 Volatility and Correlation, continued

  • Workshop - Calculating and interpreting volatility using the three methods

14.00 Value at Risk and

  • Expected Shortfall
  • Delta Normal VaR
  • VaR on single instrument
    • Stocks, FX, bonds, and derivatives
  • Portfolio VaR

16.00 End of day 1

April 16, 2020

09.00 Recap

09.30 Value at Risk and Expected Shortfall, continued

  • Workshop -calculating and interpreting portfolio VaR
  • Historical simulation
  • Bootstrapping
  • Weighting of data
  • Monte Carlo Simulation
  • Expected Shortfall
  • Using VaRto manage risk
    • Delta VaR, Component VaR, and Incremental VaR
  • Workshop -historical simulation, Delta VaR, Component VaR, and Incremental VaRb

12.00 Lunch

13.00 Capital Requirements on Market Risk, Backtesting and Future Regulation

  • Standard method
  • Internal method
  • What can we expect in the future?
    • Fundamental Review of the Trading Book
  • Backtesting
    • Objective and methods
    • Regulatory requirements
  • Workshop - backtest of portfolio

15.00 Stress-testing

  • Examples of stressed markets
  • Stresstest objective and methods
  • Experiences from the financial crisis
  • Workshop: stress-test of portfolio

16.00 End of course and evaluation

For more information about this training visit https://www.researchandmarkets.com/r/xh8oqz

Contacts

ResearchAndMarkets.com
Laura Wood, Senior Press Manager
press@researchandmarkets.com
For E.S.T Office Hours Call 1-917-300-0470
For U.S./CAN Toll Free Call 1-800-526-8630
For GMT Office Hours Call +353-1-416-8900

Contacts

ResearchAndMarkets.com
Laura Wood, Senior Press Manager
press@researchandmarkets.com
For E.S.T Office Hours Call 1-917-300-0470
For U.S./CAN Toll Free Call 1-800-526-8630
For GMT Office Hours Call +353-1-416-8900