The failure of numerous financial institutions and the spectacular losses in the financial markets in recent years, have had a profound and extremely significant impact on the approach to and innovations in risk management. Since the global financial crisis hit the industry, the measurement, prevention and mitigation of systemic and tail risk has become central to the risk management and business agenda of most European and US banks and other financial institutions and their regulators. Concerns about both the management of risk born by financial institutions and the regulatory authority’s ability to assess and monitor their financial risk have been an on-going challenge.
The Basel Committee’s consultative paper in May 2012 on the replacement of VaR with Expected Shortfall marks a shift in the regulator’s approach. Risk professionals, burdened with ever increasing responsibility and oversight, have seen changes from VaR to Stress VaR and now to Expected Shortfall.
- What business justification is there for the change?
- What are the data issues associated with ES computation?
- What are the computational problems associated with measuring tail risk?
- Tail risk exhibits properties such as dynamism and conditionality between asset correlations, what are the implications of such properties for risk measurement?
- To what extent do the advantages of Expected Shortfall outweigh VaR?
- What are the complimentary features and challenges of undertaking both VaR and Expected Shortfall calculations?
This cutting-edge training programme will provide you invaluable practical information on:
- VaR/Expected Shortfall risk capital and regulatory developments
- Key issues in risk governance, risk management and risk audits
- Historical simulation methodologies and issues
- VaR/CoVaR methods and issues, expected tail-loss (Conditional VaR)
- Importance of multi-factor term-structure models
- Worked examples of implementation
- Insights into tail risk, how systemic and tail risk events can unfold and what their key drivers are
- Dealing with unmeasured unpredicted “unknown unknowns” and how to build the robust tail risk management framework
- Implement comprehensive tail risk crisis mitigating approach and various solutions
For further information including the full speaker line-up, agenda and to download the brochure, please visit www.cfp-events.com/esvar
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