VaR and Market Risk
Czas trwania
5
hours
Lokalizacja
Online
Język
English
Kod
FIN-017
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Opis
In this training we deal with concepts such as risk management in investment banking, risk factor modelling, quantitative estimation of market risk with VaR approach, sensitivity calculation and sensitivity usage for the PnL calculation of different scenarios related to risk factors behavior.
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wydawany jest certyfikat
wydawany jest certyfikat
Cele
Participants will learn about the way in which risk management is conducted in investment banking, how risk factors are modelled, how market risk is calculated with the VaR approach, how price sensitivities are calculated and used for the PnL calculation for generated scenarios regarding risk factor changes.
Grupa docelowa
BAs, QAs, DEVs working in investment banking projects.
Warunki wstępne
Basic knowledge of financial markets.
Plan działania
- Risk management in investment banking.
- Risk factors - modelling principles and assumptions.
- Portfolio of financial instruments standard deviation calculation.
- Covariance matrix calculation for a set of risk factors.
- Variance/covariance method for VaR calculation.
- Historical method for VaR calculation.
- Monte-Carlo method for VaR calculation.
- 1st order and 2nd order price sensitivities calculations.
- Price sensitivities usage to calculate PnL for the generated scenarios for risk factors' changes.