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Workshop Agenda
Day 1
The workshop will start at 9:00 am and will end at 6:00 pm.
Applications of Innovative Risk Measurement Instruments: Integrated Risk-Return Management of the Bank Portfolio
Objective:
Get a basic understanding of
- Innovative concepts of bank-wide risk measurement and capital allocation,
- New approaches of an integrated portfolio management of the bank portfolio.
Contents:
- Necessity of an integrated perspective of risk and return management of the bank portfolio,
- New concepts of integrated bank wide risk measurement and capital allocation,
- Risk-return optimization of the bank portfolio with internal and regulatory loss risk limitations,
- Consistent framework of Risk Adjusted Performance Measurement and
bank-wide system of efficient risk-return key ratios.
Examples and Practical Exercise:
Examples of implementation of the risk-return measurement and management of a simplified bank portfolio.
Day 2
The workshop will start at 9:00 am and will end at 4:00 pm.
Theoretical Foundations of Innovative Risk Measurement Instruments: Value-at-Risk, Conditional Value-at-Risk (CVaR) and Drawdown
Objective:
Learn foundations of recent risk management concepts:
- Value-at-Risk (VaR): pros and cons,
- Definition of Conditional Value-at-Risk (CVaR) and basic properties,
- Risk management with CVaR functions,
- Drawdown management: Conditional Drawdown-at-Risk (CDaR).
Contents:
- VaR risk management concept: advantages and pitfalls,
- CVaR is a coherent risk measure: approximately averages worst x% losses,
- CVaR versus VaR comparative analysis,
- CDaR is average of worst x% portfolio drawdowns (e.g., worst 3 drawdowns).
Examples and Practical Exercise:
Optimization of portfolio of bonds, equities, and futures; hedging of portfolio of options, portfolio replication.
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