Measuring risk: an introduction to VaR
Price - £349(+VAT)
We have created this advance-level training session to demystify how risk can be measured and in particular how a Value at Risk (VaR) calculation is built.
In the 2 day course, we set out where and how quantitative metrics sit in the risk management cycle. Against this backdrop the remainder of the session explores how a VaR calculation can be built for simple portfolios and highlights some of the issues faced by organisations when implementing a VaR metric. We also look at two key inputs to the VaR calculation – volatility and correlation.
The course is designed to be “hands on” and with a number of practical MS Excel-based exercises, participants will gain insight into how calculations are constructed from the bottom up. This approach reinforces theory presented in this, and our complementary courses –Practical Energy Risk Management and Introduction to Gas and Electricity Wholesale Trading.
A case study brings different aspects together illustrate the implementation of metrics in a risk management framework and draws out some of the challenges that would come with operating these tools and processes in a live commercial environment.
- Risk/ trading compliance managers and analysts
- Traders and trading/ junior quantitative analysts
- I&C Energy Managers/ Supplier I&C Key Account Managers
This course is aimed at energy professionals from suppliers, generators and large I&C consumers looking to gain an insight into risk metrics and the mechanics of simple VaR calculations
We assume that participants have the knowledge/ skills covered in our sister courses – Practical Energy Risk Management and Introduction to Gas and Electricity Wholesale Trading (attendance at these is not a prerequisite)
Areas of focus
- Risk management approach and risk measurement using metrics
- Wholesale energy marker risks – quantification (Value at Risk, Capital at Risk and Mark-to-market)
- Value at Risk - input data, outputs and calculation
- Volatility and correlation – definition and calculation inputs/ outputs
- Practical MS Excel-based exercises to show how calculation work using sample data
- Case study to illustrate practical implementation
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