About the online training programme
This course provides insight in the concept of risk and explains how it differs from uncertainty. The lessons cover in-depth the quantification of risk by means of various methodologies, both on the level of an individual position and a complex portfolio. Next to value at risk, stress tests are given attention.
Course Contents
This course covers the following video lessons:
- Dynamic & flexible
- The meaning of the value at risk
- 3 value at risk methods – Introduction
- The parametric approach
- Linearity versus non-linearity
- Relevant parameters – Introduction
- Relevant parameters – Confidence level
- Relevant parameters – Time horizon
- Relevant parameters – Typical settings
- Historical simulation – Introduction
- Historical simulation – Pros & cons
- Monte Carlo simulation – Introduction
- Monte Carlo simulation – Models
- Monte Carlo simulation – Different probability distributions
- Monte Carlo simulation – Step-by-step application
- Monte Carlo simulation – Practical application in Excel
- Stress testing – Introduction
- Stress testing – Ways to perform stress tests
- Stress testing – Worst case performance & worst losing streak
- Stress testing – Expected shortfall – Introduction
- Stress testing – Expected shortfall – Example
- Stress testing – Disadvantages
- 3 value at risk methods – Advantages & disadvantages – Comparison
- 3 value at risk methods – Advantages & disadvantages – Listings
- Calculations – Individual position – 1
- Calculations – Individual position – 2
- Calculations – Portfolio – 2 positions
- Calculations – Correlation coefficients – Impact on VaR
- Calculations – Correlation coefficients – Limitations
- Calculations – Portfolio – 3 positions
- Calculations – VaR versus P&L
- Calculations – FX exposures
- Cash flow at risk
This course also includes examination and certification.