Market Risk Measurement and Management
This course enables you to measure and control the market risk portfolios of securities. The course is aimed at employees who deal with risk management and control.
The course will give you hands-on experience with measuring and managing market risk. You will learn about the traditional risk figures like duration, Beta, volatility and the option greeks as well as Value at Risk using the Delta Normal Approach and Historical Simulation. You will also learn how to back- and stresstest your portfolio.
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The course is relevant to
- Risk Managers
- Risk Controllers
- Backoffice employees
- Internal auditors
- Financial authorities
You have an introductory knowledge about risk management since concepts like duration will only be explained briefly.
You will learn about:
– Fundamental Review of the Trading Book
– Value at Risk
– Delta Normal Approach
– Historical Simulation-based VaR
– Delta VaR, Component VaR and Incremental VaR
– Duration and Key Rate Duration
– Capital Requirements for Market Risk
– The Greeks
– Simple, Exponentially Weighted Moving Average and GARCH-volatility
– Stresstesting and backtesting
The price of the course is SEK 15.500. The price covers course material, lunch and refreshments.
Jørgen Just Andresen is managing director of Financial Training Partner A/S, which he co-founded in 2002.
He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.
Jørgen is also an external lecturer at Copenhagen Business School and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planing) in 2016.
He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing.
He holds an M.Sc. (international finance) and an HD (accounting).
Snittbetyg: 4,9Baseras på 13 recensioner.
Financial Training Partner A S
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