MARKET RISK AND THE FUNDAMENTAL REVIEW OF THE TRADING BOOK
JOHN C. HULL MAPLE FINANCIAL PROFESSOR OF DERIVATIVES & RISK MANAGEMENT AT JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT AT UNIVERSITY OF TORONTO John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull- White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye Award. John Hull has written three books: “Risk Management and Financial Institutions” (now in its 4th edition), “Options, Futures, and Other Derivatives” (now in its 9th edition) and “Fundamentals of Futures and Options Markets” (now in its 8th edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom.
Dr. Hull is co-director of Rotman’s Master of Finance Program. In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. He is an Associate Editor of nine academic journals.
PROGRAM: 1. 2. 3. 4. 5. 6. 7. 8. 9.
Value at risk (VaR) and expected shortfall (ES). Interest rate risk. Greek letters and minimum variance delta. Historical simulation and its extensions. Monitoring volatility (EWMA and GARCH). Stressed VaR and ES. Tail risk and extreme value theory. History of market risk regulation. Fundamental review of the trading book (the standard and internal models approaches).
REQUIREMENTS – Graduated from an economic and/or administrative career. – Preferably working in Financial Institutions. – Participants should bring a laptop.
VENUE: Westin Santa Fe Hotel Javier Barrios Sierra 540 Col. Lomas de Santa Fe, CDMX. Price: $15,000.00 M.N. + IVA
REGISTRATION E-mail: email@example.com Telephone: +52 (55) 5638 0367 +52 (55) 5669 4729
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IMPORTANT NOTICE: There will be no reimbursements.
SESSIONS June 20 10:00 AM - 6:00 PM
Duration 8 hours