Forward-Looking Value at Risk: A Deep Learning Approach course

sbs
Last Update 24/09/2024
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About This Course

Introduction

Structure

The course consists of a half-day, three-hour classroom session. The course includes significant hands-on learning with the practical analysis of real-world cases, proposed by the students themselves, which are then analyzed and discussed in plenary sessions or through exercises led by the instructor. Each half-day of training provides two training credits, necessary for renewing the certifications issued by the school (AMLACERT, KYCACERT, RCACERT, WSACERT) and the CAMS certification.

 

Program

– What is meant by Value-at-Risk (VaR)
– The Monte Carlo method for simulating a financial asset
Example implementation on Excel spreadsheet
– The Monte Carlo method for simulating a financial portfolio
Example implementation on Excel spreadsheet
– Long-Short Term Memory (LSTM) network for calculating VaR
Example implementation using Python on the Google Colaboratory platform
– Exercise: Calculate the VaR of a three-asset portfolio

 

 

 

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