# 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:

- The ALM Crash course and survival guide
- Setting Counterparty Limits, Market Risk Limits & Liquidity and Interest Rate Risk Limits

**Related Video Courses**

**Related PDF Files**

- Calculating VaR – Includes case study
- Value at Risk with Liquidity Premium
- ALM – Crash Course
- Setting Counterparty Limits

**Related EXCEL Files**

- Calculating VaR – EXCEL Example
- Calculating VaR for Futures and Options – EXCEL Example
- Portfolio VaR – EXCEL Example
- Duration Convexity – EXCEL Example
- ALM – Crash Course – EXCEL Examples (Examples include: Cost to close liquidity gaps, Cost to close interest rate risk, Earnings at risk, Market value of equity)
- Setting Limits – EXCEL Example