- 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.
- 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.