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:

  1. Dynamic & flexible
  2. The meaning of the value at risk
  3. 3 value at risk methods – Introduction
  4. The parametric approach
  5. Linearity versus non-linearity
  6. Relevant parameters – Introduction
  7. Relevant parameters – Confidence level
  8. Relevant parameters – Time horizon
  9. Relevant parameters – Typical settings
  10. Historical simulation – Introduction
  11. Historical simulation – Pros & cons
  12. Monte Carlo simulation – Introduction
  13. Monte Carlo simulation – Models
  14. Monte Carlo simulation – Different probability distributions
  15. Monte Carlo simulation – Step-by-step application
  16. Monte Carlo simulation – Practical application in Excel
  17. Stress testing – Introduction
  18. Stress testing – Ways to perform stress tests
  19. Stress testing – Worst case performance & worst losing streak
  20. Stress testing – Expected shortfall – Introduction
  21. Stress testing – Expected shortfall – Example
  22. Stress testing – Disadvantages
  23. 3 value at risk methods – Advantages & disadvantages – Comparison
  24. 3 value at risk methods – Advantages & disadvantages – Listings
  25. Calculations – Individual position – 1
  26. Calculations – Individual position – 2
  27. Calculations – Portfolio – 2 positions
  28. Calculations – Correlation coefficients – Impact on VaR
  29. Calculations – Correlation coefficients – Limitations
  30. Calculations – Portfolio – 3 positions
  31. Calculations – VaR versus P&L
  32. Calculations – FX exposures
  33. Cash flow at risk

This course also includes examination and certification.

Reviews

The course provided a good explanation.

Mohammed Abi Afthab Olikathodi
Analyst Energy Data & Scenarios at Eurelectric

The most positive element of the course were the short informative lectures.

Olga Lysytsyna
Senior Consultant at E-Star

Content was good.

Maria Kramer
Operational Risk Manager at Statkraft

It is very informative and well described. The subtitles help.

Mohammed Abi Afthab Olikathodi
Analyst Energy Data & Scenarios at Eurelectric

Good illustration.

Nataliia Trofimova
Internal Auditor at DTEK