Course Description

This course takes you to a deep dive into the Market Risk module in Calypso (previously called ERS Risk). 

 

It will start with the required setup that you need in order to use Market Risk and then create the analyses. 


Market Risk solution enables the user to estimate Value-at-Risk, Hypothetical PL and to Back-test VaR against Hypothetical PL. Value-at-Risk can be estimated using Historical or Monte Carlo simulation methods. Drill-down and roll-up capabilities allow users to quickly identify areas of concern and explain sources of risk.

VaR, Hypothetical PL and Back testing results are generated by running specific Market Risk analysis, also referred to as Sim and HypPL analysis respectively. The sections will describe each supported analysis, and how to configure and run them.

 

 

With Market Risk Solution you will be able to do the following:

 

  • Two-step process including shifts generation and risk metric computation

 

  • Value at Risk can be estimated using Monte Carlo or Historical simulation, and different VaRMetrics are provided (Var, ES, Incremental Var)

 

  • Flexible parametrization in terms of hierarchies and metrics computation

 

  • Drill-down and roll-up capabilities allow identification or areas of concern and explain the source of risk

 

  • Back-testing performed against hypothetical P&L can be used for model validation purposes

Course curriculum

  • 1

    Risk Overview

    • Overview
  • 2

    Installation and Login

    • Installation and Login

    • Requirements and Prerequisites

    • Running Market Risk
  • 3

    UI Features - How to

    • Hierarchy

    • Risk Attribution

    • Parameter

    • Batch

    • Domain and Grouping

    • Dashboard and Widgets

    • Analyses and Reports
  • 4

    What is Value at Risk?

    • Value at Risk (VaR)

    • Value at Risk Methodologies
  • 5

    Value at Risk (VaR) Analysis Report

    • Value at Risk (VaR) Analyses Reports
  • 6

    Historical Value at Risk

    • Historical Value at Risk
  • 7

    Stress Value at Risk

    • Stress Value at Risk
  • 8

    Monte Carlo Value at Risk

    • Monte Carlo Value at Risk (VaR)

    • Matrix Transform

    • Validation Sheets
  • 9

    Hypothetical PL Analysis

    • Hypothetical PL Analysis
  • 10

    Backtesting Analysis

    • Backtesting Analysis
  • 11

    On Demand Analysis (What If)

    • On Demand Analysis

    • ADHOC Mode

    • What If Mode

    • What If Scenario

    • Example
  • 12

    Data Quality Analysis

    • Data Quality Analysis
  • 13

    Other Specific Scenarios

    • Other Specific Scenarios
  • 14

    Scheduled Tasks

    • Scheduled Tasks
  • 15

    Data import and Export

    • Data Import and Export
  • 16

    Test Your Knowledge

    • Knowledge check