Learning Platform - "Trade Compliance & Surveillance"

Course: Value at Risk

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.

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ENTRIMA has trained numerous professionals and certified thousands of learners, and counting

The in-company training services were very satisfying, amongst others, as they served the purpose of learning by debate and through exchange of thoughts.

Pieter Schuurs
Intercontinental Exchange | ICE Endex

The most positive element of ENTRIMA’s online learning services concerns the progressive (step-by-step) approach from simple to more complex concepts.

Ronan Haas

The online learning services are based on a comprehensive curriculum with a wide variety of theoretical basics combined with a profound business knowledge. The courses provide an in-depth understanding of business relevant processes.

Mario Claeys
Uniper Global Commodities

ENTRIMA’s courses are very suitable for our employees; good quality content is what we look for.

Rob Veersma
Advisor | Global Energy Community

Really well structured and easy to follow content that is varied in delivery in order to keep the reader engaged. Looking forward to seeing more from the ENTRIMA in the future!

Erika Rabadia
Manager Trading Surveillance | Shell

The course provided a good explanation.

Mohammed Abi Afthab Olikathodi
Analyst Energy Data & Scenarios at Eurelectric

Content was good.

Maria Kramer
Operational Risk Management at Statkraft

Good illustrations

Nataly Trofimova
Head of Internal Audit at D.Trading

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

Olga Lysytsyna
Senior Consultant at E-Star

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

Mohammed Abi Afthab Olikathodi
Analyst Energy Data & Scenarios at Eurelectric

ENTRIMA’s Learning Platform provides access to a rich variety of courses which is really valuable for a life-long learner. You can access the content anytime and very easily, using your time wisely to study and grow.

Onest-Dan Gheorghisor
Sr. Expert Energy Trading & Risk Management B2B & B2C Sales OVM Petrom