- Develop a general understanding of stressed VaR principles.
- Review events and conditions that led to the introduction of stressed VaR as an added regulatory capital requirement.
- Measure stressed VaR for a hypothetical portfolio of linear positions in equity and fixed income asset classes (Excel).
- Compare stressed VaR results calculated using a variance-covariance model and an historical simulation, based on portfolio risk sensitivities (Excel).
- 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:
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.