This one-day course provides a comprehensive introduction to market risk management using MATLAB® and computational finance toolboxes. The course is intended for risk analysts, risk managers, portfolio managers, and other financial professionals with prior experience of MATLAB who require to analyze, assess, and manage market risk. The course uses examples from market risk, although the techniques demonstrated are applicable in most risk areas, including liquidity, interest-rate and operational risk. High-level course themes include:
|Day 1 of 1|
|Evaluating Portfolio Risk||
Objective: Assess and analyze the market risk associated with a given portfolio of assets.
|Modeling and Simulating Portfolio Risk||
Objective: Model and simulate the market risk associated with a given portfolio of assets.
|Analyzing Implied Volatility Risk||
Objective: Estimate and interpolate implied volatility curves and surfaces from option data observed in the market.
|Creating and Analyzing Time-Series Risk Models||
Objective: Create and analyze risk-oriented GARCH time-series models for the purpose of market risk analysis and simulation.
|Bootstrapping and Filtered Historical Simulation||
Objective: Perform market risk analysis by applying filtered historical simulation.
|Validating Value at Risk Models||
Objective: Assess and validate the effectiveness, performance and accuracy of value at risk and expected shortfall models using formal backtesting on historical market data.
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