- Understand the basic principles of value at risk (VaR).
- Examine in-depth, the parametric and historical simulation methods.
- Explore ways to compensate for fat-tailed volatility (kurtosis) and time-weighting, in the measurement of VaR.
- Measure VaR for a portfolio of 3 or more investments using portfolio risk sensitivities (DGV), volatility and correlation (Excel).
- 1.5 hours
- 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.