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VaR

VaR (Value at Risk) – Learning Roadmap

Value at Risk is a risk measure that conveniently expresses as a single number the answer to the question “What is your worst case loss, over a certain period of time and given a certain level of probability?” There are a number of methodologies used for calculating the measure such as the Variance Covariance approach, the Historical Simulation approach and the Monte Carlo simulation approach.
 

What are the prerequisites?

Prior to gaining an understanding of the Value at Risk Concept a useful introduction to understanding risk is our on-line video course:

 

What topics are covered?

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:

 

What are the additional topics I can read up on?

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.

These are discussed in the following courses:

 
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