# Daily Archives: March 20, 2010

## Calculating Value at Risk Excel

Calculating Value at Risk Excel Our second  course on Risk Management takes a deeper look at the calculation and the methods behind Value at Risk (VaR). We start with a review of calculation methods including VaR by variance-covariance, VaR by historical simulation and VaR by Monte

## Master Class: Calculating Value at Risk (VaR): Final steps

VaR Approach Specific Steps Calculating Variance-Covariance (VCV) Value at Risk (VaR) This method assumes that the daily returns follow a normal distribution. From the distribution of daily returns we estimate the standard deviation (?). The daily Value at Risk (VaR) is a function of the

## Master Class: Calculating Value at Risk (VaR): First Steps

Methodology Setting the Scene Sample Portfolio Our sample portfolio that we will use for calculating Value at Risk (VaR) consists of the following 4 items: 100 shares of OGDC 5 barrels of Crude Oil 1 foreign exchange denominated asset with market value of USD 10

## Calculating Value at Risk (VaR): VaR Methods

All methods have a common base but then diverge in how they actually calculate Value at Risk (VaR). They also have a common problem in assuming that the future will follow the past. This shortcoming is normally addressed by supplementing any VAR figures with appropriate sensitivity analysis and/or stress testing. In general the VAR calculation follows five steps

## Master Class: Calculating Value at Risk (VaR): Introduction

Value at Risk (VaR) 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

## Master Class: Derivative Products: Swaps

Swaps This is an agreement between two parties, usually institutions, to exchange cash flows according to a predefined calculation at some specified periodic intervals in the future. The calculation may be based on the future value of interest rates, foreign exchange rates or some other