I never thought that I would ever get round to writing a book; much less three in less than a twelve month period. Such is life.
So after Reboot and after Understanding Commodity Risk, comes Risk: Applications and Frameworks. Just finishing the final draft before it goes for typesetting. Expected out in print in early May and digital form, courtesy Google Checkout. More on this later.
I ran two workshops in Dubai and Abu Dhabi last week on derivatives and treasury risk management. Three new related courses in these two areas have now been uploaded as master classes. They are:
Master Class: Calculating Value at RiskThe second course on Risk Management takes a deeper look at the calculation and the methods behind Value at Risk (VaR). We start with a review Value at Risk (VaR) calculation methods including VaR by variance-covariance, VaR by historical simulation and VaR by Monte Carlo simulation, build a simple portfolio and calculate VaR for the first of the above two methods. We close with a review of applying a…
Premium Courses ALM – Crash Course$59.00Portfolio VaR – EXCEL Example$59.00Derivative Products$11.49Principal Component Analysis – PCA – US Treasury Yield Rates$54.49This method assumes that the daily returns follow a normal distribution. From the distribution of daily returns we estimate the standard deviation (σ). The daily Value at Risk (VaR) is a function of the standard deviation and the desired confidence level. In the Variance-Covariance (VCV) method the underlying volatility may be calculated either using a simple moving average (SMA) or…
Premium Courses Asset Liability Management (ALM) Crash Course - Package$125.00Credit Process$11.99Value at Risk with Liquidity Premium$19.99Black-Derman-Toy (BDT) Interest Rate Model - Package$125.00Our sample portfolio that we will use for calculating Value at Risk (VaR) consists of the following 4 items:
100 shares of OGDC 5 barrels of Crude Oil 1 foreign exchange denominated asset with market value of USD 10 on 5th March 2010. 100 units of 3-year PIB with issue date of 19th February 2009 and coupon rate of 11.25%. This means that the outstanding term of the bond is… Premium Courses Pricing Interest Rate Options – Module III EXCEL Example$13.99Pitching for Startups$0.00Relative Gold Price model$139.00Calibration of CIR Model – EXCEL Example$39.99There are three primary methods used for calculating Value at Risk (VaR).
a. Variance /Covariance method
b. Historical simulation method
c. Monte Carlo simulation method
All methods have a common base but then diverge in how they actually calculate Value at Risk (VaR). They also have a common problem in assuming that the future will follow the past. This shortcoming is normally addressed by supplementing any…
Premium Courses Risk Frameworks & Applications – 2nd Edition$140.00Monte Carlo Simulation – Equity – Example$8.99Derivatives Pricing - Package$40.00Valuing Options – Black Scholes Example$12.99One of the most pertinent questions in risk management has been: How much do you stand to lose, over a certain period and with a certain probability? The most common answer to this question today is Value at Risk, a risk measure that expresses itself as one number. What is that number and what does it stands for?
In order to interpret this number…
Premium Courses Monte Carlo Simulation – Currency – Example$8.99Monte Carlo Simulation - Package$18.00Pricing Interest Rate Options – Module III$14.49ALM and Capital Adequacy$199.00
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