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Developing quantitative techniques for stress testing portfolios against extreme market moves.
This webinar will introduce new statistical tools for generating scenarios that are specifically designed to capture extreme risks.
Examine the extreme correlation and covariance matrices, and the skewness and kurtosis tensors of asset or risk factor returns.
Identify regime-specific behaviour patterns for extreme moments.
Differentiate statistically between different market regimes, and quantify the probabilities associated with these regimes.
Show how extreme moments can be incorporated into Value-at-Risk models to estimate extreme VaR.
Explain how to simulate infinitely scenarios that share exactly the same essential characteristics as a single, given scenario
FEE:
$50 - PRMIA Free members and non-members
Free for PRMIA Sustaining Members (for more information about Sustaining Membership click here).
REGISTRATION:
To register online, click on Register Online in the left-hand margin of this page. To be invoiced, Download Enrollment Form, and e-mail completed form to training@prmia.org or contact Jill Fisher at training@prmia.org or call +1-612-216-5497.
Soon after your registration with PRMIA, you will be sentan e-mail on how to access the recording. The link will be sent to you manually, so please allow about 24 hours during the business week for this link to me sent to you.
RECORDING:
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This 60 minute live webinar qualifies for 1 CPE Credit. Credit is for live session only.
Learning Objectives: compute the extreme moments of risk factor returns; estimate the extreme VaR of a portfolio; identify market regimes and regime-specific behaviour; know how to simulate samples with exact moments
Pre-requisites: introductory knowledge of market Value-at-Risk models, basic understanding of statistical operators (expectation, correlation, covariance etc)
Level of difficulty: intermediate
More information on NASBA/CPE is available from www.nasba.org
***All registered attendees are eligible for a 30% discount on any of Carol’s books in the Market Risk Analysis series (Wiley, 2008)***
This discount is worth 80 USD if all four volumes are purchased.
The books provide an up-to-date, comprehensive and in-depth coverage that is matched by no other existing text. Progression through the entire four volumes provides the most rigorous preparation for the market risk analysis profession
Over 1500 large and tightly packed pages carefully introduce and illustrate each concept with interactive examples and practical case studies in Excel spreadsheets; there is also an active ask-the-author discussion forum for question on each of the books
Further details may be found on www.marketriskanalysis.com
Presenters
Carol Alexander,
Chair of Financial Risk Management,
ICMA Centre, Henley Business School at Reading
