Valuation and Risk Models
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 – A 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.
Workshop Duration: 2 Days