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5 - FNB - Finance and Banking

FNB 109 - Mastering Value-at-Risk (VaR)

Code Start Date Duration Venue
FNB 109 20 November 2023 5 Days Istanbul Registration Form Link
FNB 109 11 December 2023 5 Days Istanbul Registration Form Link
Please contact us for fees


Course Description

The changes in the business environment require functioning systems for the limitation and targeted control of each institution's risk profile to ensure it goes in total consistency with the firm risk appetite. Furthermore and instead of solely focusing only on maximizing revenue, financial institutions are increasingly adopting risk-adjusted return in strategic planning and budgeting, Value-at-Risk (VaR) is a measure of risk that is consistent across risk types and quantifies potential loss at a certain confidence level, over a certain period.

In addition to explaining methods for calculating VaR, this training course is designed to clarify VaR computational appeal as well as to provide participants with tools & techniques on how VaR outputs are used. By utilizing these measures at different levels of reporting/aggregation, VaR provides a holistic approach to a well-functioning risk control system through showing total firm-wide risk and summary of risk concentration among different business units, asset classes and countries.

Course Objectives

  • Mastering the "value-at-risk" conceptual framework 
  • Providing simple & practical methods for calculating VaR quickly, efficiently & accurately
  • Shedding lights on VaR usages 
  • Explaining VaR compliments; expected shortfall, worst-case-scenario, peak-over-threshold along with tools & techniques to backtesting & stresstesting

Who Should Attend?

  • Risk Management Staff Members
  • Middle Office staff members
  • Internal Audit Officers
  • Financial Control Officers
  • Basel Implementation Officers

Course Details/Schedule

Day 1

  • Term definitions
  • Adoption of VaR
  • VaR calculation formulas
  • Time Variation/ time conversions

Day 2

  • VaR models:
  • Linear models
  • Delta-normal
  • Lognormal
  • Full Valuation Models
  • Historical Simulation
  • Monte Carlo

Day 3

  • VaR Classifications
  • Parametric
  • Non-parametric
  • Hybrid
  • VaR Complements
  • Expected Shortfall (ES)
  • Worst-Case-Scenario (WCS)
  • Peak-Over-Threshold (POT)
  • VaR Misconceptions
  • Back Testing
  • Stresstesting

Day 4

  • VaR Variations
  • Individual VaR
  • Diversified VaR
  • Undiversified VaR
  • Marginal VaR
  • Incremental VaR
  • Component VaR

Day 5

  • VaR Usages
  • Managing Portfolios using VaR
  • Setting risk appetite & limits using VaR
  • Using VaR outputs in capital adequacy calculations