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Executive Training / Risk Management
Risk Management
Value at Risk
Course Summary
Title: Value at Risk
Instructors: Mariano Cané de Estrada, CFA & Elsa Cortina, Ph.D.

Registration Opening: March 2nd 2010.
Start: April 14th 2010.
Days & Times: Tuesdays & Thursdays from 7 to 10 P.M.
Course Length: 18 hours.
Fees: U$S 800.- Including CD with course slides and materials.
Venue: Florida 15, 9th Floor, Office # 28 "B".
Inquiries & Registration: Carolina Tomo, ctomo@fitinstitute.net
Telephone: (5411) 5235-3965
Fax: (5411) 4954-6782

Course Objectives
To provide a complete overview of the most recent market techniques for measurement and management of financial market risk, with a distinct focus on VaR and its related measures.

Skill Requirements
Previous technical knowledge on the topic is not required. Still, participants should have a basic working knowledge of statistics, general financial theory and derivative instruments. Participants should be aware that the course involves working with Microsoft Excel to solve cases during class, and this familiarity with this application is recommended.

Content Summary
Market Risk Management: Traditional measurements of risk; Definition of Value at Risk; Sources of risk; Risk factors; VAR methods; Beyond VAR; Stress testing; Cash Flow at Risk (CAR).

Interest Rate Risk Management: Definition of Duration VAR; Portfolio Duration VAR; Mapping; Full Valuation methods; Multi factor models; Interest Rate Risk hedging.

Hedging: Regression approach; Simulation approach; Delta Exposure; Hedging linear risk; Hedging with Futures; Hedging with Options; Hedging with Forwards.

Performance Measurement and Attribution: Time-weighted return; Money-weighted return; Treynor ratio; Sharpe ratio; Jensen ratio; Information ratio; Reward to VAR.

Future Perspectives of Risk Management in Latin America .

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Course Schedule
Classes will take place on Tuesdays and Thrusdays from 7 pm to 10 pm

· Download Course Brochure
Value at Risk (PDF file)


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