Backtesting Value-at-Risk
Thought Leadership Webinar: In the current market conditions, risk management and forecasts of market losses are playing a crucial role in the area of finance. However, these tools are subject to model risk and a strong process, such as backtesting, must be in place to evaluate the quality and accuracy of the bank’s VaR risk model.
Presented By:
Wandrille Gaultier, CAIA, PRM
Senior Sales Executive, FIS Global
Date:
October 7, 2020
Time:
10:00 a.m. - 11:00 a.m. EDT
3:00 p.m. - 4:00 p.m. BST
Session Length:
60 minutes
Value-at-risk (VaR) is the most popular measure of downside investment risk in the financial industry. It gives the maximum loss on a portfolio over a specific time period at a certain level of confidence. Knowing its accuracy is paramount to estimate how much cash needs to be reserved to cover potential losses. Risk managers have adopted a process known as backtesting to assess the accuracy of their VaR model. It involves the comparison of the VaR measure to the actual losses (or gains) observed on the portfolio. Several backtesting techniques are available to risk managers. Each of them has its pros and cons, which can make it difficult to choose the most appropriate one. Furthermore, the causes behind backtesting failures need to be identified, understood, and corrected where possible in order to minimize capital calculation inaccuracy and punitive backtesting charges.
| About Our Expert |
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Wandrille has 15 years of experience in the financial risk management industry both as a practitioner and solution consultant. After starting as a mathematics professor, he continued his career as a risk and performance analyst at Societe Generale Asset Management and Credit Agricole Asset Management in Paris. He then moved to Amundi Hong Kong and Korea as Head of Risk Management. In 2011, Wandrille moved to Bloomberg in Singapore to propose buy-side and sell-side clients performance, market, and counterparty risk solutions. Since 2018, he has been the Senior Sales Executive at FIS Global.
In parallell, Wandrille is a lecturer at National University of Singapore (NUS) on financial risk management with a focus on Value-at-risk models, OTC pricing techniques, and financial mathematics. He has been a PRM holder since 2014 and a Chartered Alternative Investment Analyst (CAIA, from the Chartered Alternative Investment Analyst Association).
Wandrille holds a Master's Degree in Financial Engineering from Kedge Business School.
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| Continued Risk Learning Credits: 1 |
PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].
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Registration |
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Membership Type |
Price |
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Members (Sustaining, Corporate, RIM & Contributing)
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COMPLIMENTARY |
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Non Member |
$30 USD
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