The seminar covers advanced VaR models for market risk along with some other advanced topics such as risk decomposition.

 

At the end of Intrinsic Value's training seminar in advanced VaR models the participant should be able to:

􀂅  Discuss the issues related to the three VaR models.

􀂅  Demonstrate Standard Distributional Assumptions.

􀂅  Demonstrate Volatility Clustering Models.

􀂅  Demonstrate impact of Volatility Clustering on VaR.

􀂅  Discuss GARCH model.

􀂅  Demonstrate VaR with the Student’s t distribution.

􀂅  Explain VaR with Extreme Value Theory.

􀂅  Demonstrate VaR with Normal Mixtures.

􀂅  Describe the rules for disaggregating risk.

􀂅  Demonstrate Incremental VaR (IVaR).

􀂅  Demonstrate Component VaR (CVaR).

􀂅  Demonstrate Principal Component Analysis (PCA).

􀂅  Explain VaR with PCA.