VAR - Part 2

VAR - Part 2

Overview

This tutorial looks at how Monte Carlo simulations are applied to VAR calculations. We examine how techniques such as historical simulation, stress testing, backtesting and extreme value theory are used by risk managers.

Objective

On completion of this tutorial, you will be able to:
- Outline the Monte Carlo simulation approach to calculating value at risk (VAR)
- Describe the benefits and problems that arise from using Monte Carlo simulations to calculate VAR
- Outline the historical simulation approach to calculating value at risk (VAR)
- Describe the advantages and disadvantages of historical simulation
- Explain the Basel Committee's standards for VAR models and the backtesting of these models
- Understand how and why stress testing is used in risk management
- Describe the basics of extreme value theory

Content

Module 1: VAR - Monte Carlo Simulation
Topic 1: Calculating VAR Using Monte Carlo Simulations
Topic 2: Appraisal of Monte Carlo VAR

Module 2: VAR - Historical Simulation & Other Issues
Topic 1: Calculating VAR Using the Historical Simulation Approach
Topic 2: Appraisal of the Historical Simulation Approach
Topic 3: Basel Committee Standards for VAR Models
Topic 4: Stress Testing
Topic 5: Extreme Value Theory

Details

Code
TERFR17005001
Venue
ePlatform
Language
English
Level
Advanced
Hours
SFC:2.5, PWMA:2.5
Fees
All Member: HK$750
Non-Member: HK$1125
Staff of Corporate Member: HK$750