The workshop covers theory and uses hands-on exercises to deepen understanding, with real-world examples that illustrate the theory on a practical scale. This course assumes the participant has some experience with Excel, and some previous exposure to probability theory and linear algebra. Breakfast and lunch are included each day. RiskMetrics Group will provide laptops for workshop modeling but attendees are welcome to bring their own.

Course Description

• Introduction, Risk Measures, and Historical Simulation
• Monte Carlo
• Stress Testing
• Backtesting

During the introduction we begin with a brief history of risk measurement where we explore key ideas and events leading to the development of various risk measures such as VaR and Expected Shortfall.

We examine histogram representations of profit and loss (P&L) distributions generated via historical and Monte Carlo simulation methodologies. Students get hands-on experience while implementing various simulation and statistical techniques to assess portfolio risk.

A brief probability theory review is followed by extensive coverage and implementation of volatility forecasting (EWMA) and multivariate Monte Carlo simulation.

The final part of the course is dedicated to best practices including stress testing and backtesting. Stress testing covers both historical and predictive methodologies. Backtesting covers both the TLA approach and the newly published RM2006 dp-measure.

If you are interested in registering for one our upcoming workshops please contact us.