- Develop a general understanding of the principles of stressed VaR.
- 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 and non-linear positions across multiple asset classes (Excel).
- Compare stressed VaR results calculated using a variance-covariance model, an historical simulation and a monte carlo simulation, based on portfolio risk sensitivities and full revaluation (Excel).
- Examine the challenges that exist in the measurement of stressed VaR, in relation to market data and liquidity.
- 1 hour
- 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.