Risk Sensitivities

Risk Sensitivity

US $165

Description

Learning Objectives:

Explore the principles of delta, gamma, vega, and theta (DGVT) risk sensitivities.
Understand the Taylor Series Expansion as an adaptation to risk measurement using DGVT.
Examine option volatility skew and its importance to Vega risk sensitivity measurement.
Measure delta, gamma, and vega risk sensitivities and estimate portfolio profit or loss in response to market changes (Excel).

Duration:

1.5 hours

Audience:

Staff and management in Risk, Finance, Operations, Audit, Risk IT, and Front Office, in financial organizations globally.
Earn verifiable Continuing Education and Professional Development credits with Optimal MRM’s e-Learning program.

Recommended Course Prerequisites:

None

How long do I have to complete this course?

You will have access to course content for 270 days from enrollment date and can choose to complete the course at any time during this period.

Content

Course Content

Introduction and Definitions

The Taylor Series Expansion

Delta | Interest Rates | Bonds and Swaps (Excel)

Delta | Interest Rates | Swap Options (Excel)

Delta | Equity Option (Excel)

Gamma | Interest Rates | Swap Options (Excel)

Gamma | Equity Option (Excel)

Vega | Interest Rate Swap & Equity Options (Excel)

Volatility Skew | Swap Options (Excel)

Risk Sensitivity Exam

Audio-Visual Content and Course Duration:

The time that it takes to complete the course will be determined by your desired pace. It’s estimated that you will spend up to 2 hours to complete the course.
The total viewing time of lesson presentations is 1-1.5 hours; individual lesson topics are between 5-15 minutes each, presented as audio-visual content.
The time needed to complete each exercise presented is between 10-20 minutes, based on your level of engagement.
The exam is allocated 1 hour.

Downloadable Content:

The exercises presented in lessons are provided in a downloadable Excel spreadsheet. This will enable you to practice the exercises, side-by-side with the lesson presentations.
A downloadable PDF is provided as a text version of the lessons presentations. This can be used as reference and to make notes, as you go through the presentations.

Exam and Certificate:

The course exam is comprised of questions in the form of true/false, multiple choice, sorting choice, and fill in the blank.
A personalized course certificate will be issued to you with a minimum score of 50%.

Currency

Choose payment currency