Fund Risk · RISK02
Leverage, VaR and Stress Testing for Funds
A practical framework for measuring leverage and portfolio risk, interpreting VaR and designing decision-useful stress tests.
Designed for practical application.
A practical framework for measuring leverage and portfolio risk, interpreting VaR and designing decision-useful stress tests.
What you will be able to do
- Compare gross, net and commitment-style leverage measures.
- Interpret VaR assumptions and limitations.
- Design and communicate portfolio stress scenarios.
Course structure
01
Sources of fund leverage
02
Exposure measures
03
VaR concepts and limitations
04
Historical and hypothetical stress tests
05
Concentration and liquidity interaction
06
Limits, breaches and governance
Assessment and evidence
ASSESSMENT
Calculation-led scenarios and assessment; proposed pass mark 70%.
LEARNING EVIDENCE
Completion record, score and certificate.
RISK02
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