Manager's Guide to VaR Methods
a 3-day down to earth examination of concepts, practices, and implications
of VaR methods and:
provide a lucid explanation of basis and methods
principle focus is on understanding the uses and misuses of VaR methods and
“models” which are used or required in everyday business
come to grips with the foundation of these methods and a consolidation of the
techniques and ideas
to keep focus on
P&L regardless of "theory"
techniques mean and don’t mean, and when and when not to use specific
understand and have working knowledge of specific techniques
market professionals with 2-years experience
Management; not really intended for experienced quants (unless they want
to know how trader’s think)
Keeping vs. Risk Management:
analysis of position keeping for VaR
(static) Uncertainty Primer: review
of basic tools required for “static” (single period) VaR.
(dynamic) Uncertainty Primer:
review of basic tools and concepts required for VaR in a variable and dynamic
setting (multi-period), including comparison of risk-neutral and market-risk
preferences for VaR
introduction and analyses of common VaR methods including Rank, quantile,
historical VaR, covariance VaR (RiskMetrics), Monte Carlo VaR.
Additionally, includes analyses of comparative calculations.
World VaR Issue: implication
of many important real world factors for VaR methods including data sourcing and
analyses, backtesting of VaR for efficiency, consideration of forecasting
assumptions, and assessment of rebalancing strategies in traditional VaR
VaR and Simulation:
examination simulations methods for capturing multi-period market and
rebalancing strategies on VaR calculations and usage.
comprehensive and extensively illustrated Handout Notes (see samples
Plus copies of relevant TG2 Books/e-Books
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"