Market VaR Workshop
Programme Director: Professor Carol Alexander
By the end of the programme, through the workshop approach, delegates will have a deep intuitive understanding of the uses and abuses of risk assessment methodologies.
The Excel spreadsheets used throughout this course have been specifically designed for instruction towards each step of the risk assessment process. Their transparent design is an essential aid to learning. In addition, some of the case studies are based on more complete and developed VaR model and stress-testing spreadsheets, with VBA code that delegates may use as the basis for constructing their own, in-house VaR models after the course.
Risk management is a rapidly growing profession. The proper education of risk managers is struggling to keep apace with the demands of the industry for fully trained risk managers. There is a clear need for certified professionals that have completed this course and have the quality assurance of the ICMA Centre professional training division.
Participants will learn how to:
- Construct cash flow maps for swaps, bonds and loans
- Map equity, fixed income, currency and commodity portfolios
- Develop and use value-at-risk (VaR) models
- Identify model risk in different VaR models
- Run stress tests and scenario analysis
- Aggregate and disaggregate risk assessments
Who should attend?
- Market risk analysts
- Middle office management
- Traders (operating under VaR limits)
- Junior risk managers
- Corporate treasurers
- Commercial bank treasury personnel
- Risk managers in investment funds
- Financial control, risk and compliance personnel
- Risk management systems developers
Further information
The ICMA Centre offer a workshop series which are available on a group booking basis. For further information or to request a tailored workshop for your organisation please email l.ley@icmacentre.ac.uk.
