Participants in this course will gain an understanding of the interrelationship of the many factors that make Value at Risk (VaR) a dynamic and strategic tool for measuring company-wide risk exposures.  This is an introductory course for people who need to acquaint themselves with a basic knowledge of VaR concepts. 

There are no prerequisites for this program nor is any advanced preparation required. 

 At the conclusion of this program, participants will be able to:

ü      Give a precise definition of Value at Risk and describe how VaR is changing the way companies evaluate risk in their business.

ü      Discuss how these changing views of risk will impact the sale of risk management products.

ü      Recognize why companies are implementing VaR.

ü      Explain the key factors in calculating VaR.

ü      Calculate a closed form VaR number.

ü      Illustrate a simple VaR model and accurately discuss the modeling process.

ü      Calculate a two-product VaR using correlation.

ü      Explain the difference between closed form and simulation approaches to VaR.

ü      Discuss the relationship of correlation to the different methodologies.

ü      Understand the need and uses for stress testing.

ü      Identify common pitfalls in the implementation of a VaR system.

CPE Credits earned are:

Accounting & Auditing – 2

Consulting Services – 1

Management – 1

Specialized Knowledge & Applications – 12