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Table of Contents


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A Risk Manager's Guide to VaR Methods


Objective: a 3-day down to earth examination of concepts, practices, and implications of VaR methods and:

·       to provide a lucid explanation of basis and methods

·      the principle focus is on understanding the uses and misuses of VaR methods and “models” which are used or required in everyday business

·      to come to grips with the foundation of these methods and a consolidation of the techniques and ideas

Will learn:

·      to keep focus on  P&L regardless of "theory"

·      what techniques mean and don’t mean, and when and when not  to use specific techniques

·      to understand and have working knowledge of specific techniques

Audience: market professionals with 2-years experience

·      Traders, sales, support,

·      Management, treasurers,

·      Risk Management; not really intended for experienced quants (unless they want to know how trader’s think)

Table of Contents

1)    Overview: examination of the key concepts in a VaR setting

2)    Position Keeping vs. Risk Management: analysis of position keeping for VaR

3)    A (static) Uncertainty Primer: review of basic tools required for “static” (single period) VaR.

4)    A (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

5)    Basic VaR Concepts: introduction and analyses of common VaR methods including Rank, quantile, historical VaR, covariance VaR (RiskMetrics), Monte Carlo VaR.  Additionally, includes analyses of comparative calculations.

6)    Real 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 assumptions.

7)    Multi-Period VaR and Simulation: examination simulations methods for capturing multi-period market and rebalancing strategies on VaR calculations and usage.


530 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: 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" list HERE)

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Last modified: July 25, 2011