Euromoney Audit Training

A 3-day practical Treasury Risk Management programme where delegates will learn how to:

• Evaluate the different VaR calculation methods.
• Exploit the potential methods in order to improve VaR results.
• Carry out a basic Monte Carlo simulation.
• See how VaR techniques can be used to estimate credit risk.
• Use VaR for optimal capital allocation and setting limits.
• Integrating Credit and Market risk.

Course Objectives

This practical hands-on course will allow delegates to understand market risk and to calculate Market Risk/Value at Risk for various products like FRA’s, Swaps Forward Currency Agreements and Options. The course will commence with an introduction to financial statistics including, standard deviation, volatility, the
normal distribution curve and correlation.

We will then concentrate on introducing the concept of VaR and how it can meet regulatory requirements as well as improving internal decision making. Delegates will also see how matrices operate and will use spreadsheets to calculate VaR. Comparisons between the
various VaR methods will also be covered.

Who should attend

This course is highly recommended to the following groups of professionals:

• Traders
• Risk Managers
• Accountants
• Back Office Staff
• Treasury Managers

 

• Cormac Butler

  Cormac Butler is currently an active equity and options trader and a former consultant with Lombard Risk Systems London and has also worked with Peat Marwick and PricewaterhouseCoopers. He has considerable international experience as a training consultant in derivative accounting, Corporate Finance and Derivative Mathematics, working with major banks including Banque BNP Paribas. He has conducted in-house courses Morgan Stanley, PriceWaterhouseCoopers (Holland), Investec (South Africa) and ABB Switzerland and Asian Development Bank. In addition, he has worked for IIR and Euromoney in Singapore, Hong Kong, Thailand, America and Saudi Arabia. Cormac graduated from the University of Limerick, Ireland with a degree in Finance He has recently published Mastering Value at Risk (Financial Times Pitman) which is currently on the best sellers list (for Risk Management books) with Amazon.com, Gloriamundi.org and Financial World Bookshop (London). He has also published Accounting for Financial Instruments by Wiley.

  Courses run by this instructor

  • Accounting for Derivatives - Dubai

Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.

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