Value at Risk – Calculating Portfolio VaR for multiple securities with & without VCV Matrix .

In an earlier VCV Matrix post we had presented the theoretical proof of how the portfolio VaR obtained using the short cut weighted average return method produces the same result as would have been obtained if a detailed Variance Covariance [...]

Risk Models, Option Pricing & Bank Regulation training for practitioners

A typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on product market, applications or pricing, but not all three. These leaves [...]

Calculating Conditional Value at Risk (CVaR) or Expected Short fall using Historical returns.
Imagine a board meeting where you have just presented your Value at Risk (VaR) analysis and a board member asks a simple question. “So what are we talking about here? What is the expectation? What is the most that we can drop if [...]

Calculating Value at Risk (VaR) – Comparing VaR models, methods & metrics.
Have you ever wondered what Value at Risk (VaR) numbers would look like across the same data set but using the different calculation approaches? In today’s VaR Excel spreadsheet walk through session we will do just that. We will compare VaR results across SMA [...]

Value at Risk Models – Value at Risk, Marginal VaR, Incremental VaR & Conditional VaR
Our latest addition to our Excel downloads library. A spreadsheet that shows how to calculate the different flavors of Value at Risk on the same data set (SMA, EWMA, VCV, Historical Simulation, Marginal, Incremental & Conditional Value at Risk – VaR). [...]

Estimating Value at Risk (VaR) for Interest Rate (IRS) & Cross Currency Swaps (CCS) using Historical Simulation Approach
This post is a continuation of our earlier post that describes the usage of historical simulation for VaR calculation of IRS and CCS (Swaps). In this session we will actually walk through the sample Excel spreadsheet built to [...]

Value at Risk for Interest Rate and Cross Currency Swaps using Historical Simulation
Valuing and marking to market over the counter interest rate (IRS) and cross currency swaps (CCS) has always been a painful topic. Model assumptions, liquidity and open interest in any given tenor varies from one valuation interval to the next and there is [...]

Solved Solution for Value at Risk (VaR) Margin Lending Margin required Prime Brokerage Case Study
36 hours ago we posted our Value at Risk (Margin Lending applications for Prime Brokerage) question and case study as part of the weekend Quant Challenge series. Here is the high level solution for the questions and some pointers. For those of [...]

Using Value at Risk (Var) for Margin Lending Business – Prime Brokerage Case Study Practice Test Questions
Here is a short and brief case study that I would love to test you on if and when you apply to my margin lending desk or my risk management group. Over 15 years I have seen simpler variation [...]

Update:  The ebook edition of the Sales & Trading Interview Guide – Understanding Greeks and Delta hedging is now available for sale and in stores.
 

Preparing for the quantitative portion of a sales and trading interview for a main street bank is a nightmare. Specially if the bank is an active derivative trader and wants it [...]