VaR Modelling in Turbulent Markets Workshop

Macquarie University Applied Finance Centre
Sydney, NSW, Australia

Course Format: Classroom | E-learning | Virtual Class | Online/Live | On-site/In-house | Blended | Self-paced

Course Description:

'' In the recent market turbulence VaR models at many financial institutions have performed poorly. Some commentators claim that quantitative risk modelling should be abandoned. This course shows that risk models are fixable rather than fundamentally flawed. It addresses the risk modelling issues that are particularly important in times of market crisis; volatility clustering and failure of normality. The course will focus on quantitative tools for estimating Value-at-Risk (VaR) and Expected Tail Loss (ETL) that are supported by empirical research. Special attention is paid to the problem of incorporating extreme market events in risk models. Throughout the course, case studies and computer workshops will be used to illustrate and apply technical tools and models.

Detailed Outline
Topic 1 �Foundation Concepts
Review of risk concepts
VaR �fixable or fundamentally flawed?
Problems with Value at Risk (VaR)
Why risk models are crucial for risk management
Testing for Normality
Topic 2 �Risk in the Absence of Normality
The Student’s t distribution
Extreme Value distributions
GARCH
Realised Volatility
Topic 3 �Historic Simulation
Standard historical simulation method and its failings
Choosing the sample period
EWMA (Exponentially Weighted Moving Average) Volatility
Volatility weighted historical simulation
Topic 4 �Maximum Likelihood Estimation
Maximum likelihood estimation (MLE) concept
MLE and GARCH models
Numerical procedures for optimisation
Topic 5 �Monte Carlo Simulation and Options
When to use Monte Carlo Simulation
Portfolios containing options
GARCH simulation
Topic 6 �Model Risk
Model risk and VaR Models
Backtesting of VaR models
Case study: Backtesting VaR for currency portfolios
Topic 7 �Modelling Correlation
Multi-asset portfolios
Mapping to risk factors
Co-movement between risk factors
...''

Elements of this syllabus are subject to change.

Phone:+61 2 9850 7111

School Address/Venue(s):

Macquarie University
Balaclava Road, North Ryde,
New South Wales
2109 Australia


Jobs & Resumes: Sydney
Houses & Roommates: Sydney
Travel Agencies: Sydney

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