Calculating Value at Risk (VaR) – Resource Directory

Welcome to our resource directory for Value at Risk (VaR) enthusiasts, students and followers. From VaR calculations to applications. Over the last three years as the calculating Value at Risk (VaR) resource page has increased in size we have restructured the pages into separate sections.

If you are in a rush, please see the following links since they contain everything we have on this subject and more.

1. Calculating and Applying Value at Risk Quick Reference Guide – updated 23 September 2012 – free 

2. Financial Risk Management (FRM) Course Page for EMBA and GMBA Students at SP Jain Dubai/ SP Jain Singapore – updated Feb 2013 – free 

3. Advance Risk Management Training Workshop (The RM II Course) for EMBA and GMBA Students – updated Feb 2013 – free 

Between the three links and reference pages above we  review a number of real world cases, applying Value at Risk (VaR) approaches to the following risk problems:

1. Risk management within the petrochemical industry (probability of shortfall applied to crude oil volatility at an oil refinery),
2. The viability of Jet Fuel Hedging using Value at Risk (VaR) as the primary analytical tool,
3. Calculating VaR for Options and Futures (sales and trading desks),
4. VaR and the insurance premium approach (from banking regulation and Internal Capital Adequacy Assessment Process (ICAAP) reporting).
5. VaR, Conditional VaR, Marginal VaR
6. Hacking Monte Carlo Simulation by replacing Normal with the true distribution
7. Calculating VaR for Swaps, Cross Currency Swaps, Caps & Floors using the Historical Simulation approach.

These cases are presented in the Value at Risk (VaR) applications and case studies section in the Calculating and Applying Value at Risk Quick Reference Guide 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 walkthrough(s) are presented that show you how to calculate Value at Risk (VaR) in Excel using the variance co-variance (VCV) approach as well as the historical simulation approach.

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).

Value at Risk (VaR) Applications Guides and Case Studies

If you  don’t like skipping multiple pages and haven’t clicked on any of the links above, here is the entire inventory of our Value at Risk (VaR) application and calculation posts

1. Calculating Value at Risk: VaR, Vol and Trailing Correlations
2. Calculating Value at Risk using Historical Simulation in Excel: Step by Step guide in Excel
3. Value at Risk: Detailed Step by Step Calculation Case Study
4. Master Class: 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 – A Value at Risk application?
8. Jet Fuel Hedging Case Study – Application and Results
9. Portfolio Value at Risk (VaR) Calculation – Shortcut approach without VCV Matrix – Proof