These days one of the major tasks of risk managers is to measure the risk using value-at-risk (VaR) models. The basic VaR models for market risk are covered in this seminar.

 

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

􀂅  Define Value-at-Risk (VaR).

􀂅  Discuss Internal Models for Market Risk Capital.

􀂅  Demonstrate Analytical VaR Model.

􀂅  Explain Monte Carlo Simulation VaR model.

􀂅  Demonstrate Historical Simulation VaR model.

􀂅  Describe Risk Factor Mapping.

􀂅  Demonstrate Mapping Spot Positions.

􀂅  Demonstrate Mapping Equity Positions.

􀂅  Demonstrate Mapping Zero-Coupon Bonds.

􀂅  Describe Mapping Forward/Futures Positions.

􀂅  Demonstrate Mapping Complex Positions.

􀂅  Demonstrate Mapping Options: Delta and Delta-Gamma Approaches.

􀂅  Describe Backtesting of VaR models.

􀂅  Explain Central Limit Theorem and non-normality of financial markets.