Market Risk Analysis

label Diverse autorenew 2025-09-29, 17:01 history_edu Cristian Ion
t: 1. Introduction to risk analysis - risk definition, types of risk, risk management process (general information), role and significance of risk analysis, identification of risk types and risk factors, defining aims or risk management - 2 h. 2. Basic measures of market risk - 1 h. 3. Diversification: dependence and risk, basics of portfolio theory - 2 h. 4. Estimation of Value at Risk (VaR) for elementary positions and their portfolios - 1 h. 5. Back-testing Value at Risk model - 1 h. 6. General procedures and elements of market risk measurement system (measuring risk using full and local valuation approach, mapping simple positions, replication of complex positions) - 2 h. 7. Value at Risk of complex positions - full and local valuation - 2 h. 8. Basic facts on other types of risk and their analysis - 1 h. 9. Test

Period
05-07-2014 - 19-07-2014 (2 weeks)

Target group
Postgraduate group

Course aim
Knowledge: concept and definition of market risk, types of market risk, measures of market risk, basic information on market risk measurement system, methods of market risk model verification Skills: identification of market risk, identification of market risk factors, measurement of market risk for simple positions, back-testing value-at-risk models, measuring risk for some types of complex portfolios



Credits
1.5 ECTS credits

Course fee
EUR 650[Convert to USD]The cost of participation in the Summer School Poland.

Course leader
dr Paweł Rokita

Wroclaw University of Economics
Address: ul. Komandorska 118/120
Postal code: 53-345
City: Wrocław
Country: Poland
Website: http://www.summerschool.pl/
E-mail: Joanna.Radomska@summerschool.pl
Phone: +48 713680209