Introduction and General Description

• Types of risk
• Why Value at Risk (VAR)?
• What Value at Risk covers
• What it replaces
• What it aims to achieve
• Exercise - building a simple model

From Non-Parametric to Parametric

• Basic mathematics surrounding the establishment of variance and standard deviations
• Probability distribution function and normal distribution
• 'Z' scores
• Historical analysis
• Exercise - calculating an historic analysis VAR on a parametric basis

CoVariance Models

• Comparing VAR results
• Constructing a Covariance model
• Back testing
• Stress testing

Monte-Carlo Simulation

• Treatment of options
• Monte-Carlo simulation