Smart About Risk  
Value at Risk

Value at Risk

The seminar Value at Risk is organized as an open seminar for employees from different institutions and also as an in-house seminar organized for employees of clients with tailor made requirements.

Objectives of the seminar

The seminar describes in detail the methodology ‘Value at Risk’ including alternative calculations (historical simulation, covariance matrix method and the Monte Carlo simulation). The seminar also addresses the back testing of Value at Risk. In addition, participants will be introduced to other, less frequent risks rates (Expected Shortfall, Cash Flow at Risk, Profit at Risk). Given the fact that Value at Risk need not always be the relevant risk rate, participants will be introduced to sensitivity analysis and stress testing.

For whom it is intended

The seminar is designed for experts who work with the quantification of financial risks in both financial institutions and manufacturing companies.

 

Seminar content

  1. Distribution of random variable
  2. Definition and usage of Value at Risk (VAR)
  3. Calculation methods of Value at Risk
  4. Back testing
  5. Stress testing
  6. Other measures of risk
  7. Coherent measures of risk
  8. Other applications of Value at risk
Currently no open seminar is organized. If you are interested in this topic please contact us and we will be delighted to prepare an in-house seminar for you.

 

Software

Our company developed specialized software CADCalc® Market for effective market risk management.