This two day seminar looks at VaR following the new regulatory developments
coming from the Basel committee and national regulatory authorities. It
challenges how we can refresh our approaches to VaR, with a special focus on
stressed VaR, backtesting and stress testing. This course will also look at how
we can incorporate other risk sensitivity measures into the VaR methodology to
make it more robust and reliable.
The ever changing landscape of counterparty credit risk means that up-to date
information is essential for good business practice and this two-day course aims
to do that, with sessions covering pricing, modelling exposure, the management
of wrong way risk and the development of central counterparties.
The course will also provide insight at collateral management the paramount
weapon for counterparty risk reduction. Leading international and local experts
will address all the of the topics above.
In order to develop accurate ratings, systems must take into account
qualitative and quantitative factors, often in portfolios where data is limited.
This course will tackle these issues as well as engaging with the
issues surrounding validating and testing models in stressful market conditions.
The course speakers will make extensive use of real life examples to help bridge
the gap between theory and practice.
