(Click Category to List Courses)
5 - FNB - Finance and Banking
FNB 109 - Mastering Value-at-Risk (VaR)
| Code | Start Date | Duration | Venue | |
|---|---|---|---|---|
| FNB 109 | 02 December 2024 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 06 January 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 03 February 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 03 March 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 28 April 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 26 May 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 23 June 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 21 July 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 18 August 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 15 September 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 13 October 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 10 November 2025 | 5 Days | Istanbul | Registration Form Link |
| FNB 109 | 01 December 2025 | 5 Days | Istanbul | Registration Form Link |
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
