Fundamentals of Value-at-Risk

To attend, Call (412) 279-9298 or Register Online

For further details, contact Soli Forouzan at (713) 838-1028 forouzan@mind-span.com

Morning Session: I.       Financial accounting books vs. trading books II.      The primary purpose of trading books III.     Accrual vs. Mark-to-Market method of accounting IV.    Detailed review of trading book components            A. Trade recap report            B. Position report            C. Profit & loss report V.     Functions of front, middle and back offices VI.    Controls environment            A. Foundations of effective risk control and reporting            B. Risk management policy & procedures            C. Authorization and governance VII.   Income "rollover" from forward to recognized book VIII.  Creating and managing a sample trading book Afternoon Session I.       Introduction II.      Definition of value-at-risk III.     Assumptions behind VaR A. Static portfolio during holding period B. Normal vs. lognormal price distributions IV.    Step by step simple VaR calculation example V.     The three different methods of calculating VaR A. Variance-covariance method B. Historical simulation method C. Monte Carlo simulation method VI.      Limitations of VaR method of measuring risk VII.     Auditing VaR results