A Risk
Manager's Guide to VaR Methods
Objective:
a 3-day down to earth examination of concepts, practices, and implications
of VaR methods and:
·
to
provide a lucid explanation of basis and methods
·
the
principle focus is on understanding the uses and misuses of VaR methods and
“models” which are used or required in everyday business
·
to
come to grips with the foundation of these methods and a consolidation of the
techniques and ideas
Will
learn:
·
to keep focus on
P&L regardless of "theory"
·
what
techniques mean and don’t mean, and when and when not to use specific
techniques
·
to
understand and have working knowledge of specific techniques
Audience:
market professionals with 2-years experience
·
Traders,
sales, support,
·
Management,
treasurers,
·
Risk
Management; not really intended for experienced quants (unless they want
to know how trader’s think)
2)
Position
Keeping vs. Risk Management:
analysis of position keeping for VaR
3)
A
(static) Uncertainty Primer: review
of basic tools required for “static” (single period) VaR.
4)
A
(dynamic) Uncertainty Primer:
review of basic tools and concepts required for VaR in a variable and dynamic
setting (multi-period), including comparison of risk-neutral and market-risk
preferences for VaR
5)
Basic
VaR Concepts:
introduction and analyses of common VaR methods including Rank, quantile,
historical VaR, covariance VaR (RiskMetrics), Monte Carlo VaR.
Additionally, includes analyses of comparative calculations.
6)
Real
World VaR Issue: implication
of many important real world factors for VaR methods including data sourcing and
analyses, backtesting of VaR for efficiency, consideration of forecasting
assumptions, and assessment of rebalancing strategies in traditional VaR
assumptions.
7)
Multi-Period
VaR and Simulation:
examination simulations methods for capturing multi-period market and
rebalancing strategies on VaR calculations and usage.
530
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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