Verify that improvements to value-at-risk measurement have held six months after they were introduced.
Measuring Market Risk Using Value-at-Risk Models
A senior-level treatment of value-at-risk measurement, focused on what changes outcomes.
📍 Abu Dhabi🗓️ 5 training days📚 4 modules🎓 Accredited certificate
5intensive training days
4scientific modules
8training sessions
32detailed points
Course Overview
Growth built on poorly controlled value-at-risk measurement reverses faster than it accumulated. Regulators no longer accept intent as evidence of control over the financial and banking practice discipline. Mature organisations treat the financial and banking practice capability as a standing capability rather than a project that finishes. The method assumes participants will be challenged on their handling of value-at-risk measurement and prepares them for it. Participants who influence the practice within financial and banking practice without directly controlling it will find the content directly usable. The programme takes participants through this strand of financial and banking practice end to end, from framing the problem to closing it out. Participants gain a clear basis for measuring what value-at-risk measurement has actually achieved. Moving the financial and banking practice capability from written policy into daily practice is not achieved by a single decision. It ends with a prioritised list of changes to the practice within financial and banking practice that the participant is prepared to defend internally.
Expected Learning Outcomes
Review contracts and agreements for the obligations they create around value-at-risk measurement.
Establish the segregation of duties required around value-at-risk measurement.
Reduce avoidable variation in how value-at-risk measurement is carried out across teams.
Validate the assumptions inside any model supporting value-at-risk measurement.
Build the audit evidence that demonstrates value-at-risk measurement operated as designed.
Stress test value-at-risk measurement against scenarios that are plausible rather than comfortable.
Who Should Attend
Managers with direct responsibility for value-at-risk measurement within the business line.
Financial technology and change staff modernising value-at-risk measurement.
Coordinators responsible for keeping records and documentation of value-at-risk measurement current.
Treasury and asset-liability staff managing value-at-risk measurement.
Board risk committee members overseeing value-at-risk measurement.
Investment and portfolio managers exposed to value-at-risk measurement.
Course Modules
Value-at-risk measurement: reporting that supports a decision
2 sessions · 8 pointsSession 1Concentration building quietly inside value-at-risk measurement
- Rehearse the briefing on value-at-risk measurement that would follow an incident.
- Document the remediation plan for each known weakness in value-at-risk measurement.
- Test the procedure for value-at-risk measurement against a realistic scenario.
- Distinguish symptoms from causes when value-at-risk measurement underperforms.
Session 2Reporting value-at-risk measurement so the reader can act on it
- Review the pricing of value-at-risk measurement against the risk being assumed.
- Write down the assumptions underpinning the approach to value-at-risk measurement.
- Close out actions on value-at-risk measurement rather than leaving them open indefinitely.
- Define the trigger that would require value-at-risk measurement to be redesigned.
Value-at-risk measurement: pricing, profitability and risk-adjusted return
2 sessions · 8 pointsSession 1Setting a limit on value-at-risk measurement that will actually be respected
- Confirm segregation of duties across initiation, approval and settlement of value-at-risk measurement.
- Assign responsibility for keeping documentation of value-at-risk measurement current.
- Set the review interval for value-at-risk measurement and who attends.
- Test value-at-risk measurement against a scenario the organisation would rather not model.
Session 2What a supervisor will ask about value-at-risk measurement, and in what order
- Establish who is informed, consulted and accountable in value-at-risk measurement.
- Arrange the handover of value-at-risk measurement so capability survives staff changes.
- Define acceptance criteria for value-at-risk measurement in advance.
- Translate the appetite for value-at-risk measurement into limits someone monitors daily.
Value-at-risk measurement: audit evidence and examiner readiness
2 sessions · 8 pointsSession 1Comparing value-at-risk measurement with recognised practice
- Set early warning indicators for value-at-risk measurement with defined action thresholds.
- Design the exception process for value-at-risk measurement and require a documented rationale.
- Check that value-at-risk measurement still works when volumes rise unexpectedly.
- Verify reconciliation and settlement controls covering value-at-risk measurement.
Session 2Handling a breach of policy on value-at-risk measurement properly
- Confirm client due diligence standards applied to value-at-risk measurement are current.
- Confirm regulatory reporting on value-at-risk measurement is complete, timely and reconciled.
- Check the legal and contractual exposure created by value-at-risk measurement.
- State the risk appetite for value-at-risk measurement as a number, not an adjective.
Value-at-risk measurement: regulatory obligation and supervisory expectation
2 sessions · 8 pointsSession 1What has to be agreed before work on value-at-risk measurement starts
- Check the accounting treatment applied to value-at-risk measurement against current standards.
- Compare the cost of value-at-risk measurement with the cost of its absence.
- Prepare the response for the most likely failure in value-at-risk measurement.
- Identify the key controls over value-at-risk measurement and who tests them.
Session 2Building the method for value-at-risk measurement step by step
- Agree who signs off value-at-risk measurement and record that they did.
- Prepare the summary of value-at-risk measurement that senior management will read.
- Assess the capital consumed by value-at-risk measurement under current and stressed conditions.
- Identify the data already collected that bears on value-at-risk measurement.
Choose the package that suits you
Silver Package
At least 3 people
USD1,250
- Workshop or Program Participation
- Airport Transfers
- Customized Badge
- Expert Mentorship (Private Sessions)
- Supervision & Secretarial Services
- Accredited Certificate of Participation
- Complete Training Kit
- Coffee Break
- Closing Ceremony
Gold Package
At least 3 people
USD1,850
- 5-night stay in a 5-star hotel
- Workshop or Program Participation
- Airport Transfers
- Customized Badge
- Expert Mentorship (Private Sessions)
- Supervision & Secretarial Services
- Accredited Certificate of Participation
- Complete Training Kit
- Coffee Break
- Closing Ceremony
Complete your registration
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