Value at risk (VaR) is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. This metric is most commonly used by investment and commercial banks to determine the extent and occurrence ratio of potential losses in their institutional portfolios. VaR calculations can be applied to specific positions or portfolios as a whole or to measure firm-wide risk exposure.
Valuation and Risk Models – 2-Day Workshop
This area will test a candidate’s knowledge of valuation techniques and risk models. The broad knowledge points covered are:
- Value-at-Risk (VaR)
- Expected shortfall (ES)
- Stress testing and scenario analysis
- Option valuation
- Fixed income valuation
- Country and sovereign risk models and management
- External and internal credit ratings
- Expected and unexpected losses
- Operational risk
What Will You Learn
At the end of the workshop, participants should be able to understand:
- The value-at-risk (VaR) estimation approaches and applications. Reading 26 covers financial risk measures and examines measurement frameworks such as the mean-variance approach, VaR, and expected shortfall (ES).
- The key elements of option pricing and option sensitivities. Option valuation using binominal trees and the Black-Scholes-Merton model is covered, along with the use of options for hedging and risk management.
- Valuing and understanding risk management for fixed income securities.
- The specific sources of country risk and the use of external ratings in assessing sovereign default risk.
- The basics of credit risk, specifically expected loss (EL) and unexpected loss (UL) for both an individual security and a portfolio.
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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