Value at Risk with Liquidity Premium
About the course
The course consists of 1 pdf file and 1 EXCEL file.
This course presents a VaR based approach for quantifying market liquidity risk with a detailed walkthrough of the accompanying EXCEL example. Market risk measures are calculated for base and stressed scenarios in turn for markets where trading volume is unlimited and where it is constrained. The latter measure produces a metric that is adjusted for market liquidity risk and inclusive of the liquidity premium.
After taking this course you will be able to:
- Explain an approach for determining the loss attributable to market liquidity risk
- Calculate market liquidity risk under base and stressed market risk scenarios
The candidate should have familiarity with the calculation of Value-at-Risk (VaR), local markets, portfolio management and the Basel II/III framework. They should also be comfortable with basic mathematics, statistics, probability and EXCEL.
The course is aimed primarily at banking professionals and individuals responsible for asset liability management and risk management within banks, insurance companies and mutual funds who need to review or refresh their understanding of ALM and Capital Adequacy regulations for work, professional review, audit or personal development.