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Market Risk

Market Risk

Open seminar in Czech language

The seminar Market Risk is organized as an open seminar for employees from different institutions and also as an in-house seminar organized for employees of clients with tailor made requirements.

Objectives of the seminar

The seminar focuses on all types of market risk (i.e. volatility of FX rates, interest rates and stock and commodity price fluctuations). Participants will get acquainted with identifying risks as well as the principles of valuing various market instruments. They will learn about methods for measuring and managing market risks, such as open position, gap analysis, VaR and expected shortfall, back-testing and stress testing, and hedging with financial derivatives. The seminar also includes a discussion of the quantitative and qualitative requirements for market risk measurement and management models, including practical aspects of their implementation.

For whom it is intended

The seminar is intended for specialists of medium and large companies whose management is affected by market risks, and specialists of banks, insurance companies, pension and investment funds who deal with market risk and investments.


 

Seminar content

  1. Elements of market risks
  2. Identification of market risk
  3. Valuation of market instruments
  4. Overview of methods of market risk management
  5. Value at risk
  6. Use of VaR within Basel II
  7. Back testing
  8. Stress testing
  9. Possibilities of market risk management
  10. Time horizons and their influence on the method of market risk management
  11. Specifics of market risk management for selected entities

Date: 

Seminar details in PDF

Lecturers

Mgr. Ing. Václav Novotný

Ing. Milan Říha, Risk Management Department Manager, UniCredit Bank Czech Republic and Slovakia, a. s.

Milan Říha is responsible for the methodology and monitoring of market risk and liquidity indicators, valuation of derivatives, calculation of profits and losses from Treasury trades, development of new products, management of collateral from Treasury trades and counterparty risk. In the past, he was responsible for trading derivatives and other financial products on the interbank market. He has been working at UniCredit since 2000, in his current position since 2003.
Milan Říha graduated from the Faculty of Mechanical Engineering of the Czech Technical University.

 

In addition to expert seminars, Advanced Risk Management, s.r.o. offers consultancy services in the area of Market Risk.

Our company also developed specialized software CADCalc® Market for efficient management of market risk.

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