VaR and Market Risk

VaR and Market Risk
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.
5 hours
Online
English
FIN-017
VaR and Market Risk
Sign Up
Duration
5 hours
Location
Online
Language
English
Code
FIN-017
Schedule and prices
€ 100 *
Training for 7-8 or more people? Customize trainings for your specific needs
VaR and Market Risk
Sign Up
Duration
5 hours
Location
Online
Language
English
Code
FIN-017
Schedule and prices
€ 100 *
Training for 7-8 or more people? Customize trainings for your specific needs

Description

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.
After completing the course, a certificate
is issued on the Luxoft Training form

Objectives

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.

Target Audience

BAs, QAs, DEVs working in investment banking projects.

Prerequisites

Basic knowledge of financial markets.

Roadmap

  1. Risk management in investment banking.
  2. Risk factors - modelling principles and assumptions.
  3. Portfolio of financial instruments standard deviation calculation.
  4. Covariance matrix calculation for a set of risk factors.
  5. Variance/covariance method for VaR calculation.
  6. Historical method for VaR calculation.
  7. Monte-Carlo method for VaR calculation.
  8. 1st order and 2nd order price sensitivities calculations.
  9. Price sensitivities usage to calculate PnL for the generated scenarios for risk factors' changes.
Schedule and prices
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