Markedsrisiko – måling og styring

Course description

Dette kursus gør dig i stand til at måle og styre markedsrisikoen på værdipapirporteføljer. Kurset henvender sig til medarbejdere, der beskæftiger sig med risk management og kontrol. Ved brug af Excel workshops får du hands-on erfaring, som du direkte kan anvende i dit daglige arbejde. Der arbejdes med traditionelle risikonøgletal som varighed, beta, volatilitet og de græske nøgletal for optioner, såvel som de forskellige tilgange til måling af VaR; herunder Delta Normal VaR og historisk simulation.

Course content

– Fundamental Review of the Trading Book
– Value at Risk
– Delta Normal Approach
– Historisk simulations-baseret VaR
– Delta VaR, Komponent VaR og Incremental VaR
– Varighed og nøglerentevarighed
– Kapitalkrav til markedsrisiko
– Græske nøgletal
– Simpel, eksponentielt vægtet glidende gennemsnit og GARCH-volatilitet
– Stresstesting og backtesting

The course is relevant to

– Risk Managers
– Risk Controllers
– Treasurers
– Dealere
– Analytikere
– Backoffice medarbejdere
– Intern Revision
– Finansielle myndigheder
– IT-medarbejdere
– Compliance
– Middle Office
– Account Manager
– Front Office

Prerequisites

Du har et introducerende kendskab til risikostyring, da vi vil gå let hen over nøgletal som eksempelvis varighed.

Dates

10 Mar 2021 - 11 Mar 2021

We are currently planning future dates.

Please contact us for more information.

Instructor on this course

Jørgen Just Andresen

Jørgen Just Andresen

Jørgen Just Andresen is Managing Director of Financial Training Partner A/S, which he co-founded in 2002.

He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.

Jørgen is also an external lecturer at Copenhagen Business School and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planing) in 2016.

He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing.

He holds an M.Sc. (international finance) and an HD (accounting).

Jørgen teaches Derivatives, Risk Management, Portfolio Management and Fixed Income

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