Kurum-İçi Eğitim Programları
B13. Quantitative Value-At-Risk Analysis
Introduction to VAR
Evaluating different models for effective VaR calculation
Analytical methods for option & band portfolios
Risk Vis a Vis Prices & returns
volatility forecasting & correlation
Components of Credit VAR modeling credit exposure
Credit portfolio models
Monte Carlo simulation methods for derivatives
Using VAR. for capital allocation, trading limits and risk control
Applying optimal techniques for integrating credit and market risk into VAR.
Examining the benefits of stress-testing