I. Market risk examples

Regulations on market risk

Mesaurement of market risk and VaR

Calculation methods of  VaR

• Standard calculation
• Variance – covariance
• Historical simulation
• Monte Carlo simulation

II. Comparison of different methodologies, pros and cons VaR

calculation for different instruments

• Foreign currency positions
• Equities
• Bonds and bills
• Yield curve models
• Long-term markets
• Option markets