Market Risk Measurement and Management

Kursusbeskrivelse

This course enables you to measure and control the market risk portfolios of securities. The course is aimed at employees who deal with risk management and control. The course will give you hands-on experience with measuring and managing market risk. You will learn about the traditional risk figures like duration, Beta, volatility and the option greeks as well as Value at Risk using the Delta Normal Approach and Historical Simulation. You will also learn how to back- and stresstest your portfolio.

Kursusindhold

– Fundamental Review of the Trading Book
– Value at Risk
– Delta Normal Approach
– Historical Simulation-based VaR
– Delta VaR, Component VaR and Incremental VaR
– Duration and Key Rate Duration
– Capital Requirements for Market Risk
– The Greeks
– Simple, Exponentially Weighted Moving Average and GARCH-volatility
– Stresstesting and backtesting

Hvem henvender kurset sig til?

– Risk Managers
– Risk Controllers
– Treasurers
– Dealers
– Analysts
– Backoffice employees
– Internal auditors
– Financial authorities
– IT-employees
– Compliance

Forudsætninger

You have an introductory knowledge about risk management since concepts like duration will only be explained briefly.

Anmeldelser af dette kursus (13)

17 dec 2019

Market Risk Measurement and Management

Fulfilled my expectations. Applicable in daily work. Good balance between theory and practice. Liked that theory was illustrated with examples (calculations etc.) Clear and concise communication. Very good at making the subjects and theoretical aspects understandable.

Christian Wik

Danske Bank

18 okt 2019

Market Risk Measurement and Management

Very good course. Not too basic level and a good mix between theory and exercises. Very good teaching methods. The instructor had very good knowledge on the topic and no problem answering questions.

Jonas Sjöstedt

Nordax Bank

15 apr 2019

Market Risk Measurement and Management

Exceeded my expectations - very high quality of content and teaching methods. Will be able to apply this in my work. The instructor was extremely skilled - knowledgeable and had very good teaching skills.

Wilma Hedberg

Danske Bank

15 apr 2019

Market Risk Measurement and Management

The module gave a good view not only on the "number" of VAR but on the word behind the number. Good with a lot of easy examples. Good combination of theory and reality. The instructor was easy to understand and it was free to ask questions. Good body language - felt like "one of us", not a teacher and a class.

Evelina Kalmnäs Lindqvist

Förste AP-Fonden

30 okt 2018

Market Risk Measurement and Management

Very good course!

Frederik Casselhag

B3 Management AB

30 okt 2018

Market Risk Measurement and Management

Very good mix of theory and exercises. Excellent instructor. Very good course facilities.

Elin Nordahl

Swedbank

29 mar 2018

Market Risk Measurement and Management

Great course! Excellent instructor. Great location, nice food and fantastic coffee breaks. All in all very good.

Karl Hultkrantz

Nordea

29 mar 2018

Market Risk Measurement and Management

I have learned a lot on risk during the course even though I have no financial background. There was a perfect combination of theory and practice. The instructor was highly motivating! It was an intense course yet pretty fun and interesting.

Pinar Omeroglu

B3IT Management AB

29 mar 2018

Market Risk Measurement and Management

I have got a better understanding of market risk and many new ideas of how to improve our risk methods and reports. The teaching methods was very good with examples, exercises and use of white board. The instructor was easy to understand and gave good examples. There was good food and service and the room was also good.

Louise Millesten

Volvo Car Corporation

22 feb 2017

Market Risk Measurement and Management

I think it was a good mixture between theory and practice. I really liked the exercises in excel and to build the exercises on the theory/lecture was super! The instructor was really easy to follow. I liked that he asked the participants how it was used in there work. That made me feel like we were a part and that we could have questions and discussions.

Christopher Danielson

Linköpings Universitet

28 jun 2016

Market Risk Measurement and Management

Excellent combination of calculations and regulations. The course facilities are good.

Ann Carlsson

SEB

28 jun 2016

Market Risk Measurement and Management

Great teaching methods and great course facilities.

Siamand Babataheri

AP7

28 jun 2016

Market Risk Measurement and Management

Good. If anything would have liked even more on math calculating at the expense of describing stress testing and other more easily understandable things. Good instructor with very clear pedagogic.

Anders Frennstedt

SEB

Datoer

24 aug 2021 - 25 aug 2021

Vi planlægger løbende nye datoer.

Kontakt os for mere information.

Instruktør på dette kursus

Jørgen Just Andresen

Jørgen Just Andresen

Jørgen Just Andresen is Managing Director of Financial Training Partner A/S, which he co-founded in 2002.

He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.

Jørgen has worked for a number of years as external lecturer at Copenhagen Business School and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planning) in 2016.

He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing.

He holds an M.Sc. (international finance) and an HD (accounting).

Jørgen teaches Derivatives, Risk Management, Portfolio Management and Fixed Income

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