The Need

Summary and Objectives

Imagine selling a product or making a loan to your customer because it has the proper correlation.  Imagine that your customer issue’s debt in a foreign currency and needs a hedge based on decreasing exposure to price movements.  Does fixed debt provide the right correlation or is a currency swap, long dated forward or a basket option the most appropriate hedge?  If you know your customer’s Value at Risk (VaR) parameters, you can answer the question.

The Program

The VaR course introduces participants to this important new concept in measuring firm wide risk exposure.  The course provides participants with a comprehensive review of statistics, these being the primary building blocks of VaR.  It also identifies examples of the context in which banks and their clients are using VaR in their business decisions and discusses the impact of VaR in selling existing banking products.

Who Should Attend?

This introductory course is designed for the individual who needs a basic understanding of VaR concepts.

At the conclusion of this program participants will be able to:  

	Give a precise definition of value at risk
	Describe how VaR is changing the way customers evaluate risk in their businesses
	Discuss how these changing views of risk affect the sale of banking products
	Recognize why companies and banks are implementing VaR
	Explain the key factors in calculating VaR
	Calculate a closed form VaR number
	Illustrate a simple VaR model and accurately discuss the modeling process
	Calculate a two product VaR using correlation
	Explain the difference between the historical, Monte Carlo and RiskMetrics approaches to modeling VaR
	Discuss the roll of correlation in the different methodologies
	Understand the need and uses for stress testing