Market Risk Measurement and Management – Course in Stockholm

This course enables you to measure and control the market risk portfolios of securities. The course is aimed at employees who deal with risk management and control. The course will give you hands-on experience with measuring and managing market risk. You will learn about the traditional risk figures like duration, Beta, volatility and the option greeks as well as Value at Risk using the Delta Normal Approach and Historical Simulation. You will also learn how to back- and stresstest your portfolio.
Finance courses by Financial Training Partner

Course description

– Fundamental Review of the Trading Book
– Value at Risk
– Delta Normal Approach
– Historical Simulation-based VaR
– Delta VaR, Component VaR and Incremental VaR
– Duration and Key Rate Duration
– Capital Requirements for Market Risk
– The Greeks
– Simple, Exponentially Weighted Moving Average and GARCH-volatility
– Stresstesting and backtesting

The course is relevant to

- Risk Managers
- Risk Controllers
- Treasurers
- Dealers
- Analysts
- Backoffice employees
- Internal auditors
- Financial authorities
- IT-employees
- Compliance


Course Prerequisites

You have an introductory knowledge about risk management since concepts like duration will only be explained briefly.


Speaker

Jørgen Just Andresen

Programme

Date 4 Apr 2019 - 5 Apr 2019
Course days 2
Location Stockholm
Language English
Level Intermediate
Price 15.500 SEK. The price covers course material, lunch and refreshments.