Build A Market Risk Report Workshop

TOOLS & TECHNIQUES: Market Risk Track

Excel Focused Technical Skill Development

2 DAY WORKSHOP
(Workshop is not being offered at this time)

Qualifies for CPD and 14 CPE Credits

INTRODUCTION

Effectively communicating the results of the market risk function is an essential component of the overall management of an organization’s risks. The purpose of this workshop is to build a complete market risk report. Participants will learn the market risk characteristics of various financial instruments, how the risks of these instruments can be mitigated, and how these risks can be reported most efficiently to various audiences: regulators, managers, and owners.

Who should attend?

This intensive and interactive training course is designed for entry to intermediate level practitioners, with limited knowledge of financial instruments and risk management. As its primary objective, the course structures the risks of market-traded financial instruments into a risk reporting context.

What will you get out of this course?

• Learn to apply a structural and rigorous framework for market risk analysis for foreign exchange and interest rate instruments to structure a market risk report

• Implement various market risk management approaches used by different types of financial institutions, hedge funds, asset managers, and corporations

• Understand how financial engineering and risk management interact

• Understand how to incorporate interest rate and foreign exchange risk management tools in market risk Value-at-Risk calculations and how to communicate these results using market risk reports

• Learn to build a market risk reporting system

• Practical demonstrations of the above will be provided throughout the workshop through interactive Excel spreadsheets that the delegates will be able to use after the course

COURSE OVERVIEW AND OUTLINE

For this intensive and highly interactive course, all delegates are strongly recommended to attend the workshop with a laptop computer loaded with Microsoft Excel.

Objectives of the workshop

• The main components of a market risk report

• Test portfolio composition

• INTERACTIVE SESSION: Introduction to FinCAD software

Market risk and market risk factors

• INTERACTIVE SESSION: Identification of market risk factors using FinCAD

Price sensitivity factors in market risk management

• Rationale of using the price sensitivities in market risk management

• INTERACTIVE SESSION: Calculation of the sensitivities for all portfolio positions

• INTERACTIVE SESSION: Applications of the price sensitivities in market risk management

• INTERACTIVE SESSION: Accuracy of sensitivities-based risk calculations

Using statistical analysis in risk management

• Sensitivities as risk management tool: Pros and cons

• Statistical analysis of historical market factors

• INTERACTIVE SESSION: Use Excel to perform statistical analysis of historical market factors data

Models for distribution of market factors: Parametric/non-parametric

• Main parameters of the model

• INTERACTIVE SESSION: Backtesting as a optimization tool: Parametric vs. non-parametric, optimal look-back interval

Basics of VaR calculation

• Four steps of VaR calculation

• - Distribution of market factors, distribution of market values changes (P/L distribution)

• - VaR for a single position, VaR for a portfolio

Calculation of VaR for different instruments

• Distribution of stock changes, distribution of MV changes (P/L), calculation of VaR

• Price sensitivity vs. full valuation

• Calculation for different instruments: Stock, bonds, options, gold

• Calculation for a portfolio of instruments

• INTERACTIVE SESSION: Calculation of VaR for a stock position

• INTERACTIVE SESSION: Aggregated VaR for gold and IBM positions

• INTERACTIVE SESSION: Calculation of VaR by using price sensitivity and full valuation methodologies

VaR and catastrophic market risk. Stress-testing

• INTERACTIVE SESSION: Development of stress scenarios

Risk reporting

• Purpose and structure of risk reports.

• INTERACTIVE SESSION: Producing a complete risk report