Value at Risk EXCEL Guide

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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 Carlo simulation, build a simple portfolio and calculate VaR for the first of the above two methods.

We then review a number of real world cases:

  1. Risk management within the petrochemical industry (probability of shortfall),
  2. The viability of Jet Fuel Hedging,
  3. Calculating VaR for Options and Futures (sales and trading desks) and
  4. VaR and the insurance premium approach (from  banking regulation and Internal Capital Adequacy Assessment Process (ICAAP) reporting).

These cases are presented in the applications and case studies section and are expected to round up and complete the theoretical review of the earlier section by actual hands on calculations, data and live examples.

Two detailed step by step walk through(s) are presented that show you how to calculate (VaR) in Excel using the variance co-variance (VCV) approach as well as the historical simulation approach.

Silver price return distribution for risk - 8 year history
Silver price return distribution for risk – 8 year history

The last section looks at known issues in Value at Risk (VaR) calculations and results, including the most recent challenges to VaR from the Capital Shortfall approach and the suggested modifications to the Basel II standard (the Basel III updates).

  1. Master Class: Calculating Value at Risk: Introduction
  2. Master Class: Calculating Value at Risk (VaR): VaR Methods
  3. Master Class: Calculating Value at Risk (VaR): First Steps
  4. Master Class: Calculating Value at Risk (VaR): Final steps

Value at Risk (VaR) Applications and Case Studies

  1. VaR, Vol and Trailing Correlations
  2. Calculating Value at Risk using Historical Simulation in Excel
  3. Value at Risk: Detailed Step by Step Calculation Case Study
  4. Risk for the Oil and Petrochemical Industry
  5. Beyond Value at Risk: Cost of Insurance and the Put Premium Approach
  6. Calculating Value at Risk for Options and Future Contracts
  7. Jet Fuel or Aviation Fuel Hedging Case Study?
  8. Jet Fuel Hedging Case Study – Application and Results
  9. Portfolio VaR Calculation – Shortcut approach without VCV Matrix – Proof

Value at Risk Issues

  1. Value at Risk: Caveats, Qualifications, Issues
  2. Value at Risk: The Capital Shortfall model and Basel III updates

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