Beyond Value At Risk
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The 'Beyond Value at Risk' course, led by Jeroen Koster, focuses on enhancing participants' understanding of risk management techniques and methodologies in financial markets, specifically targeted at various professionals including analysts, back-office staff, and compliance officers. The training involves both theoretical and practical components, with interactive sessions covering topics such as value at risk, expected shortfall, stress testing, and risk quantification methods. Scheduled for October 11-12, 2012, in Amsterdam, the course also caters to non-mathematical experts, ensuring all attendees can grasp complex concepts regardless of their background.
Beyond Value At Risk
- 1. Beyond Value At Risk 11-12 October, 2012, Amsterdam CALCULATIONS, INTERPRETATIONS AND EXTENSIONS Course Leader Jeroen Koster, Mercurious
- 2. Beyond Value at Risk OURS Practical, hands-on course - also for non-mathematical experts. Introduction This new course is designed specifically to expand participants’ knowledge and skills in the areas of risk, exposures, managing uncertainty, portfolio management, setting limits and implementing controls. Products, potential price changes and risk management with respect ▶ Correlation coefficients and their applications; What is their use? Limitations? ▶ Expected shortfall; Conditional Value at Risk; What is it? How should it be interpreted? How is it calculated? ▶ Implications of changes in volatility ▶ Implications of the lack of or changes in liquidity Who should attend? This program was specifically developed for Risk to trading and portfolio management are also focused managers and Analysts, but it is also suited to: upon during the course, therefore the primary aim is that of ▶ Mid office staff market risk. Ways to measure or quantify risk are essential ▶ Back Office staff in this course, therefore scenario analysis and sensitivity ▶ ICT experts analysis are also included. ▶ Project managers ▶ Legal staff The course is about risk management and while ▶ Compliance officers statistics are important in that field of expertise and a ▶ Accountants, Controllers, Finance and control staff, Asset and bit of mathematics is incorporated, in this course things portfolio managers, Employees of exchanges, Staff of clearing are explained in a way that everybody will be able to organizations, Traders, Dispatchers (Operators or Shift understand, regardless of their mathematical abilities. This traders), Sales managers and staff, Originators does not affect the level of the course in any negative way, but allows us to explain all subjects in an even more in- depth manner than you can imagine. Training The training is based on a strong interactive approach in which the contribution of participants is of utmost Learning objectives importance. Theory and practice are explained and expounded using official definitions, scientific theories, Acquiring insight and knowledge of: practical exercises, cases and simulations. ▶ Quantification of risk; measuring exposures with Excel ▶ Calculation of exposures, and more importantly, the interpretation of such Documentation ▶ Quantification methods; practical approaches Participants will be provided with a syllabus with study ▶ Value at Risk; What is it? What are its limitations? material for this specific program. The syllabus contains ▶ Varieties of Value at Risk approaches all relevant documents including power point slides, fact sheets, cases and exercises. ▶ Advantages and limitations of the Value at Risk methodology ▶ Stress testing; Why? How?
- 3. AGENDA AGENDA AGENDA ▪ Program ▪ Volatility; its impact on the outcome Liquidation period; its impact ▪ Confidence level; its impact DAY 1 ▪ Types of VaR methodologies ▪ Historical simulation Session 1: ▪ Variance-Covariance methodology Measuring market risk ▪ Monte Carlo simulation ▶ Introduction ▶ Implementation of dynamic market RM ▶ Quantification of risk; difference between risk and ▷ Implementation of VaR uncertainty ▷ Back testing ▶ Calculating exposure(s); using common sense ▷ Reporting ▶ Business model; focus at practice ▶ Terminology and Statistics Exercise: ▷ Why is statistics important? Calculation of VaR (Variance-Covariance Method) of ▷ Why is understanding even more important than applying an oil and gas portfolio figures and models? ▷ Standard deviation Session 3: ▪ Volatility Monte Carlo Simulation ▪ Annualized standard deviation ▶ VaR methods ▪ Types of volatility ▷ Historical simulation technique ▪ Future volatility ▷ Analytical method ▪ Estimated volatility ▷ Monte Carlo simulation technique ▪ Historical volatility ▪ Assumptions ▪ Implied volatility ▪ Running multiple scenarios ▷ Variation and covariation ▪ Different outcomes ▪ Correlation ▪ Distribution pattern ▪ Co-integration ▪ Suitable for portfolios containing flexibility ▷ Normal distribution and Log-normal distribution ▪ Suitable for options ▷ Mean, median and modus Simulation: Exercise: Monte Carlo simulation (Power portfolio) Volatility: Calculate variance and standard deviation Session 4: Session 2: Expected Shortfall Value at Risk ▶ Beyond Value at Risk ▶ Value-at-Risk (VaR) concept ▷ VaR has limitations, so what are alternatives? ▷ Definition of VaR ▷ What are add-ons? ▪ What is it? ▶ Conditional Value at Risk (CVaR) ▪ What is it used for? ▷ What happens in the small percentile? ▪ What are its (dis)advantages? ▷ Expected shortfall ▷ Methodology ▷ Calculation of the expected loss ▪ Underlying value ▪ Notional amount Factsheet: Expected Shortfall Exercise: Expected Shortfall - CVaR
- 4. Program DAY 2 OURS Session 5: Event risk and Stress tests ▶ Event risk ▷ Tail risk: black swans, fat tails ▷ Examples of one-time-events ▷ Skew(ness); What is it? What are its consequences? ▶ Event risk management ▷ Stress tests and their use ▪ Ignore all correlations ▪ Set all correlations at 0 ▪ Set all correlations at 100% (plus or minus) ▪ Worst case performance ▪ Worst losing streak ▶ Back testing Session 7: Greek variables ▶ Sensitivity analysis ▷ Delta; What is it? What is its interpretation? ▷ Gamma; What is it? What is its interpretation? ▷ Vega; the impact of volatility ▷ Theta; premium decay over time ▷ Rho; interest rate sensitivity ▶ Scenario analysis versus sensitivity analysis ▶ Combined reporting ▶ Matrix Simulation: Trading options and managing flexibility in energy portfolios L Exercise: Stress testing Simulation: Play a trading simulation and understand Session 8: the consequences of trading by taking upon the role of Asset and Portfolio management risk manager. Execute transactions in the market and ▶ Managing a mixed portfolio of assets, obligations and a client base calculate the available working capital, the initial margin, variation margin, exchange fees, clearing fees, risk ▶ A portfolio consisting of multiple energy products ▷ Delta hedging exposure and net liquidation value of the portfolio. ▷ Dynamic hedging ▪ Embedded options Session 6: ▪ Real options Model risk ▶ Price volatility Exercise: Embedded options; flex contracts ▷ Historical volatility versus future volatility ▷ Reference period ▷ Volatility trending ▶ Correlation ▷ Normality ▷ Linearity ▷ Cross-margining ▶ Liquidity risk ▷ Dynamics of liquidity ▷ Bid-ask obligations Exercise: What is liquidity, volatility, correlation? Excel: Calculate the volatility of the spark/dark spread Excel: Calculate the correlation coefficient of a product based on a data set
- 5. LEADER COURSE LEADER Jeroen Koster Trainer-Consultant Mercurious Jeroen Koster is the co-author of Jeroen has also worked as a Corporate Trainer at the the book entitled “Refacing Risk, international derivatives trading firm All Options, in which position building a fortune”. he was responsible for training staff for the roles of Derivatives Trader, (senior) Traders and Back Office employees. The training After finishing high school, Jeroen centered onto several subjects including corporate actions, risk Koster studied Applied Mathematicsat management, compliance, volatility and trading strategies. the Technical University (TU) of Twente. In 1996 he became a With over two decades worth of experience in the energy sector, professional Options Trader (Market Jeroen Koster is highly skilled and formally schooled in the Maker) on the trading-floor of the nuances of this exciting industry. His experience and passion for European Option Exchange (EOE) in Amsterdam. passing on knowledge really make him an excellent tutor. For a number of years thereafter Jeroen traded in various option classes, both single stocks and indices and FX. Subsequently he became responsible for the education of new hires and trainees at the European Option Exchange. Following the new millennium and the technical improvements and challenges it brought along, including the migration from open-outcry to screen-based trading on electronic platforms, Jeroen became the Head of Trading at the trading firm and specialist Van der Moolen.
- 6. LANGUAGE The workshop will be delivered in English. DATE 11-12 October 2012, Amsterdam, The Netherlands SCHEDULE Each day starts at 09.00 and finishes at 17.00hrs. REGISTRATION http://www.energy-expert-network.com/courses E-mail: Johanna.oberg@energy-expert-network.com Phone:+46 (0) 85 333 2599 FEES ABOUT THE ORGANIZERS Early Bird 1990€ (register before 29 August) + Dutch VAT Standard price 2490€ + Dutch VAT MULTIPLE REGISTRATION DISCOUNT ENERGY EXPERT NETWORK Register two or more people from the same company and get a 10% discount per person. The Energy Expert Network is a network of experts and hands-on energy market participants that provides FOOD AND BEVERAGE Food and beverages will be provided to the companies with tailored courses. participants during the day. Specific wishes can be submitted to the organization. The Energy Expert Network consists of the ‘best of the best’ industry experts, well known for their knowledge and LAPTOP Provided the character of the workshop participants experience in teaching energy industry professionals. Energy are required to bring a laptop, which has installed MS Expert Network also provide open courses on fixed dates in Excel. co-operation with external experts. DOCUMENTATION Participants receive documentation, calculations and exercises in a manual.