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Seminars

Seminar application IRRBB Audit Bank Strategy Management Course Banking Regulations in a Nutshell Basel II CRD IV: Basel III Implementation in the EU CCR and CVA Securities and Derivatives Controlling in Practice Control for Financial Institutions Credit Scoring CRR 3 / CRD 6 and Other News in Banking Regulation CRR 3 / CRD 6 in Detail CVA (Credit Valuation Adjustment) Impacts of Climate Change and their Solutions Effective Reporting ESG and Green Finance ESG Risks and their Audit Finance for Non-Financial Managers Financial Derivatives Financial Mathematics Fraud Management in Today's On-line World Fundamental Review of Trading Book Guidelines on Loan Origination and Monitoring ICAAP, ILAAP, Pilar 2 and Stress Testing IFRS 9 – Impairments under the New Standard IRB in Practice Internal Rating Based (IRB) Approach Commodity Derivatives Credit Derivatives Credit Value at Risk Creation of the Qualitative Future Scenarios GHG Emissions Measurement and Carbon Footprint Calculation Environmental Risk Measurement in Financial Institutions Credit Risk Measurement Model Risk Non-Financial Reporting According to CSRD, ESRS and GAR Option Pricing Operational Risk Operational Risk in Practice Preparation for SREP alias Supervision in Practice Rating and Scoring Risk-Based Pricing Concentration risk Liquidity Risk Weather Risk Risk appetite Assets and Liabilities Management - ALM ESG Risk Management: Executive Summary Financial Risks Management Credit Risk Management Project Risk Management Enterprise Risk Management – ERM Securitization Silicon Valley Bank Solvency II: Executive Summary Stress Testing Market Risk Interest Rate Risk in the Banking Book – IRRBB Value at Risk Workout in Banking Practice (non-retail) Rise and fall of Lehman Brothers
Value at Risk

Value at Risk

The seminar Value at 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 describes in detail the methodology ‘Value at Risk’ including alternative calculations (historical simulation, covariance matrix method and the Monte Carlo simulation). The seminar also addresses the back testing of Value at Risk. In addition, participants will be introduced to other, less frequent risks rates (Expected Shortfall, Cash Flow at Risk, Profit at Risk). Given the fact that Value at Risk need not always be the relevant risk rate, participants will be introduced to sensitivity analysis and stress testing.

For whom it is intended

The seminar is designed for experts who work with the quantification of financial risks in both financial institutions and manufacturing companies.

 

Seminar content

  1. Distribution of random variable
  2. Definition and usage of Value at Risk (VAR)
  3. Calculation methods of Value at Risk
  4. Back testing
  5. Stress testing
  6. Other measures of risk
  7. Coherent measures of risk
  8. Other applications of Value at risk
Currently no open seminar is organized. If you are interested in this topic please contact us and we will be delighted to prepare an in-house seminar for you.

Lecturer

Mgr. Ing. Václav Novotný

 

Software

Our company developed specialized software CADCalc® Market for effective market risk management.


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