ניהול סיכוני שוק

Market Risk Management

בימי שישי

בין השעות 08:30-12:30

19/10/2001-26/10/2001-02/11/2001

מלון שרתון תל אביב

מרצים עיקריים: צבי וינר ודני גלאי.

נושאים מרכזיים שיטופלו במסגרת הקורס

What is market risk?, Methods of measuring market risk, Value-at-Risk approach, how to implement historical simulations, how to implement variance covariance method (with decay factor), Monte Carlo, analytical and bootstrapping, Linear and non linear instruments, Modeling risk factors and yield curves, Marginal VaR, Incremental VaR, Risk decomposition for complex financial instruments, Stress tests, Backtesting, Risk reporting, Risk management, Senior management, dynamic VaR bounds, Risk Management for trading room, Risk Management for asset management, Risk Management for debt management, Risk Management for banking regulations, Examples of VaR use and misuse.