Duration of Course: Three days
Various financial catastrophes such as Barings Bank, Long Term Capital Management, Allied Irish Banks, Equitable Life and Nat West indicate that many people working in financial markets don't fully understand financial risk. In response to this, various regulators have put pressure on accountants, regulators and traders to fully understand the risks of the products that they deal with. For accountants, this poses new problems. Apart from trying to implement accounting standards, they are now expected to give shareholders better information on the risk profile that they face. They may even have to suffer the consequences if things go wrong.
Risk measurement models such as Value at Risk (VaR) is an important tool in risk measurement. It is used by many treasury functions within companies and by banks. Indeed, virtually all annual reports produced by banks and large companies now contain VaR reports. Risk Management is likely to be both a key and controversial area in the future, particularly as the financial markets become more complex from the use of sophisticated financial instruments.
This practical hands-on course will allow delegates to understand market risk and to calculate Market Risk/Value at Risk for various products like FRA’s, Swaps Forward Currency Agreements and Options. The course will commence with an introduction to financial statistics including, standard deviation, volatility, the normal distribution curve and correlation.
We will then concentrate on introducing the concept of VaR and how it can meet regulatory requirements as well as improving internal decision making. Delegates will also sell how matrices operate and will use spreadsheets to calculate VaR. Comparisons between the various VaR methods will also be covered. At the end of the course delegates will be able to:
Cormac Butler is currently an active equity and options trader and a former consultant with Lombard Risk Systems London and has also worked with Peat Marwick and Coopers & Lybrand. He has considerable international experience as a training consultant in Derivative Accounting, Corporate Finance and Derivative Mathematics, working with major banks including Salomon Brothers, Robert Fleming and Banque Paribas. He has recently conducted in-house courses for Salomons, Morgan Stanley Dean Whitter (London), PriceWaterhouseCoopers (Holland), Investec (South Africa) and ABB Switzerland. In addition, he has worked for IIR and Euromoney in Singapore, Hong Kong, Thailand, America and Saudi Arabia. Cormac graduated from the University of Limerick, Ireland with a degree in Finance He has recently published Mastering Value at Risk (Financial Times Pitman) which is currently on the best sellers list (for Risk Management books) with Amazon.com, Gloriamundi.org and Financial World Bookshop (London).
Probability & Statistics
Introduction to Value at Risk
Portfolio Risk Measurement
Risk Analysis for Treasury Products
Interest Rate Transactions and VaR implications
Pension Market Risk Management
Option Strategies and Measurement of Market Risk
Application of Black & Scholes Model to Risk and Valuation and Implications for VaR
Case Study: Measuring Portfolio Risk Using Spreadsheets
Credit Risk VaR
Case Study: Example of Monte Carlo Simulation
Interest Rate & Fixed Income VaR
Using VaR Principles to Measure Credit Risk
Modelling Credit Default Risk
Foreign Exchange Value at Risk
Case Study: Calculating Value at Risk for Foreign Exchange Forward Contract
Application of Risk Management to Business Plans
Real Life Application of Models
Specialist Training in Treasury, Regulation and Accounting