Course Description

This course takes you to a deep dive in 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.  

 

 

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 parameterization 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

  • Installation and Setup

    • Overview

    • Installation and Setup

    • Appendix

  • Overview and Login

    • Overview and Login

  • Risk Reports Setup Requirements

    • Risk Reports Setup Requirement

  • Scenario Configuration

    • Scenario configuration

  • Generating Risk Results with Scheduled Tasks

    • Generating Risk Results with Scheduled task

  • Data Quality Analysis

    • Data Quality Analysis

  • Risk Reports

    • Risk Reports

  • HypPL and BackTesting

    • HypPL and BackTesting

  • Dashboard and Widgets

    • Dashboard and Widgets

  • Data Import and Export

    • Data Import and Export

  • On Demand Analysis

    • On Demand Analysis. pdf

  • Test Your Knowledge

    • Knowledge Check