All businesses take risks based on two factors: the probability an adverse circumstance will come about and the cost of such adverse circumstance. Risk management is the study of how to control risks and balance the possibility of gains.
As with other forms of risk, the potential loss amount due to market risk may be measured in a number of ways or conventions. Traditionally, one convention is to use value at risk (VaR). The conventions of using VaR are well established and accepted in the short-term risk management practice.
Market Risk Measurement and Management – 2-Day Workshop
This area focuses on market risk measurement and management techniques. The broad knowledge points covered includes the following:
- Value-at-Risk (VaR) and other risk measures
- Parametric and non-parametric methods of estimation
- VaR mapping
- Backtesting VaR
- Expected shortfall (ES) and other coherent risk measures
- Modeling dependence: correlations and copulas
- Term structure models of interest rates
- Discount rate selection
- Volatility: smiles and term structures
At the end of the workshop, participants should be able to understand:
- The importance of developing an understanding of VaR and other common risk measures used to assess risk.
- Modern risk management requires an understanding of correlation risk.
- Term structure models and their impact on hedging.
- Specific concepts related to derivative valuation: the use of OIS vs. LIBOR as a risk-free rate and the occurrence of volatility “smiles.”
Who should attend
Anyone with an interest, and/or role, in embedding and reviewing how financial risk is managed throughout an organization and in identifying, assessing and controlling risk at the strategic, programme, project and operational level within an organisation. This includes:
- Portfolio, programme and project management offices
- Programme managers and project managers
- Business Change Managements and Business Analysis
- Investment Managers, Investment Analysis and Business Case Developers
- Front-line managers, middle managers and strategic managers
Date, Time & Duration:
TBA (2-day workshop), Time: 9:00am to 5:00pm
KDU University College Utropolis Campus, Glenmarie,
Jalan Kontraktor U1/14, Seksyen U1, 40150 Shah Alam, Selangor.
Location map HERE GPS Coordinates: 3.092604, 101.559762
This programme is currently offered as In-House Customised Workshop only.
All our training programmes can be customised and offered as In-House Training Workshop.
To inquire, fill out the online form below or call: 03- 5565 0793/0798 or email: email@example.com
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