<Risk Management and VaR>

Course Details

Risk Management and Value at Risk

overview	The programme provides an introduction to the key analytical processes and control mechanisms used for risk management in the cash and forward markets, and examines the logic and justification for applying Value-at-Risk methodologies in risk management.
objectives	By the end of the course, participants will be able to: classify different types of risk and the relevant measures employed to quantify exposures, relate generic risk measures to specific cash and forward markets (including futures), identify appropriate hedges for a range of scenarios, discuss shortcomings in traditional risk measures and how these can be addressed by a Value-at-Risk approach, understand the principles of VaR, the statistical systems used extensively by institutions that need to measure the risks of actively traded portfolios, and calculate VaR of a single asset and of a portfolio of assets and the relationship between correlation, covariance, and returns.
who should attend?	The programme is suitable for any member of staff whose work involves contact with the bond markets, whether in a client-facing role or in support functions.
duration	1 day.
prior knowledge	A working knowledge of the major financial instruments: equities, bonds and related derivatives.
syllabus	The rationale for risk management Foreign exchange risk Interest rate risk Duration and convexity of bonds Value-at-Risk