Prior to gaining an understanding of the Value at Risk Concept a useful introduction to understanding risk is our on-line video course for sale at our Finance Course Store:
Proceeding from this introduction the following courses review the calculation methodology of Value at risk (VaR) and provide an example of its use as a risk measurement tool via a case study on margin requirements determination for the Oil and Petrochemical Industry:
Other applications of the VaR measure are its incorporation within various Asset Liability Management tools such as in determining the fall in Market Value of Equity, in setting market risk and counterparty (PSR) Limits, in calibrating Stop Loss Limits, etc:
- Asset Liability Management
- Setting Counterparty Limits, Market Risk Limits & Liquidity and Interest Rate Risk Limits
Related material, useful for example in calculating the Delta Normal adjustment to Rate VaR is given in the following courses:
The basic calculating value at risk course and setting limits course are also available in on-line video (view only and downloadable versions) format for sale at our Finance Course Store:
- Calculating VaR (Value at Risk) using VCV and Historical Simulation
- Setting Value at Risk (VaR), Stop Loss, Pre Settlement (PSR) and Counterparty Limits
The following VaR and related courses are also available for sale in pdf (non-print and print versions) formats at our Finance Course Store:
- Calculating Value at Risk- includes case study
- Asset Liability Management
- Setting Counterparty Limits
Excel examples of certain VaR related concepts are also available for sale at our Finance Course Store:
- ALM – Crash Course – Examples include Cost of Close Liquidity Gaps, Cost of Close- Interest Rate Risk, Earnings at Risk, Market Value of Equity
- Setting Limits
- Calculating VaR
- Duration Convexity Example
- Portfolio VaR – EXCEL Example
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