This training takes participants through a standard curriculum of VaR information which is required knowledge for many staff within banks. As value-at-risk is becoming entrenched as the market risk measurement tool of choice it is becoming increasingly important to achieve fluency in the strengths and weaknesses of these models.

Learning outcomes
• To understand the statistical underpinning for VaR
• To know the main risk metrics across a range of assets classes
• To be able to calculate simple VaR numbers
• To have an opinion of the strengths and weaknesses of the four VaR frameworks
• To appreciate the analysis necessary to conduct back testing
• To understand the many shortfalls in VaR

Who Should Attend
Market risk managers, credit risk managers, product controllers, internal risk auditors, traders.