Calculating Value at Risk (VaR) – Detailed Course Description
|Course Content|||||Introduction|||||Buy this Course|||||Read Course Online|
2. VAR METHODS
a. Variance Covariance Approach
a. Setting the Scene
b. Preliminary steps
d. Scaling of the daily VaR
4. CAVEATS, QUALIFICATIONS, LIMITATIONS AND ISSUES
5. CASE STUDY – RISK FOR THE OIL AND PETROCHEMICAL INDUSTRY
a. A Framework for Risk Management
Yes – Available for sale
The example calculates individual asset and portfolio daily and holding-period VaR under the Variance-Covariance Approach (Simple Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) approaches) as well as the Historical Simulation Approach.
One of the most pertinent questions in risk management has been: How much do you stand to lose, over a certain period and with a certain probability? The most common answer to this question today is Value at Risk, a risk measure that expresses itself as one number. What is that number and what does it stands for? In order to interpret this number we first have to assume that:
If you are reasonably comfortable with all of the above, then the one number to answer your question is Value at Risk: A worst case loss with limits on time period and probability.
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Please see our new self study, self paced video based course on setting limits and calculating value at risk that walk through the process of setting, reviewing and linking limits including VaR, Stop Loss, PSR, Margin and Counterparty limits based on market volatilities.