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Implementing an enhanced approach to value-at-risk
London
1 & 2 July 2010
New York
12 & 13 August 2010
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PDF (463 KB)***** DO NOT ENTER ANYTHING HERE OR REMOVE THIS BLOCK. THIS IS A HACK TO USE STYLESHEET TO CONTROL THE LAYOUT ****
Learning outcomes:
- Address the internal need for a more reliable VaR model
- Build meaningful scenarios which test VaR assumptions
- Integrate the results of stressed VaR into economic capital calculations
- Explore how you can incorporate liquidity risk into the VaR methodology
- Investigate the advantages of combining VaR and EVT
- Evaluate the Basel VaR backtesting methodology
Course dates & venues
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LONDON 1 & 2 July 2010 |
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NEW YORK 12 & 13 August 2010 |
Course tutors
LONDON
Ioannis Akkizidis, Senior Financial Risk Analyst, Product Management, FRS GLOBAL
Moises Gerstein, Director-Global Coordinator Credit Markets Quantitative Analytics, ING BANK
Ahmet Inci, Market Risk Controller, BANK VONTOBEL AG
Peter Quell, Team Head Portfolio Modelling, DZ BANK AG
Peter Schaller, Market Risk Manager, BANK AUSTRIA CREDITANSTALT
Eske Traberg Smidt, Senior Dealer, DANSKE BANK
Rolf Klaas, Risk Analyst, DEKABANK
NEW YORK
Jan Dash, President, J. DASH CONSULTANTS LLC
Ricardo Rivera, Supervising Risk Management Specialist, NEW YORK STATE BANKING DEPARTMENT
Bob Selvaggio, Senior Vice President, Risk Analysis, FIDELITY INVESTMENTS
Maria Shtrapenina, Senior Research and Risk Analyst, ASSET ALLIANCE CORPORATION
Akhtar Siddique, Deputy Director, Enterprise Risk Analysis Division, OFFICE OF THE COMPTROLLER OF THE CURRENCY
Tara Skinner, Senior Risk Consultant/Solutions Architect, SAS
Vivian Sung, Bank Supervision Group, FEDERAL RESERVE BANK OF NEW YORK
Course highlights:
- VaR in light of the new regulatory framework developments
- Ensuring VaR is more robust in a crisis
- Complementing VaR with stress testing
- Stressed VaR from regulatory and economic perspectives
- Incorporating liquidity risk into VaR
- Using Extreme Value Theory in VaR
- Backtesting VaR models
