Value at Risk for Interest Rate & Cross Currency Swaps – EXCEL worksheet overview
The Historical Simulation approach has become the default approach for us to work with when it comes to non liquid securities linked to liquid primary markets. Long dated cross currency and interest rate swaps on exotic emerging and frontier market pair fall [...]
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 [...]
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 [...]
Jawwad Farid
Calculating Value at Risk. Training Workshop session transcript. Part II of Day One. Dubai.
Please see the Financial Risk Management Training Course page for background, related transcripts, resources and downloads.
Figure 1 Risk Management Workshop: Action plan
Risk Management: Volatility, Value at Risk (VaR)
Now to our Action Plan. Today we will cover volatility, and we will spend [...]
Calculating Value at Risk (VaR) Case Study: A quick reference guide to VaR calculations
The objective of this case study is to understand how to derive VaR numbers with various approaches using publicly available data.
What you will need
Value at Risk resource and reference page at FinanceTrainingCourse.com to refer to if you come across terminology that needs [...]
Jawwad Farid
Asset Liability Management (ALM) is the primary source of directors and senior executive grief at bank board meetings. The reporting is standard, the numbers concise but the terminology (despite many years of usage) is still exotic and confusing.
The work that we have done on the live training front as well as here on FinanceTrainingCourse.com [...]
Financial Risk Management MBA Workshop: Volatility, Value at Risk, Correlations and Daily Returns
Session one started off with a quick review of volatility, standard deviation, value at risk and trailing correlations.
Required Download for Financial Risk Session One
The FinancialRisk-Price-data-set-Oil-Gold-Fuel Oil excel file includes raw data series for Fuel Oil, WTI Crude Oil and Gold. It also includes [...]
Jawwad Farid
Financial Risk Management Course for MBA students
I am teaching a short week long course on Financial Risk Management at the SP Jain Campus in Dubai. For the next seven days I will work with 30 MBA students and complete a full review of
a. Value at Risk
b. Measure translation and transaction exposures
c. Derivative Crash [...]
In this post on value at risk we will start off with a data series for the USD-EUR Foreign currency exchange rate and see what a tool like Value at Risk can tell us about both the likely as well as the worst case movement for this exchange rate.
