Calculating Value at Risk – Now available on the iPad
2 mins read After spending the last four months in development, our first multi-touch book, “Calculating Value at Risk – Instructional Guide to
Tracking Correlations: Risk, Trailing correlations, correlation coefficients and Trading decisions
< 1 min read Agnes recently did a lot of work in putting together a short course on correlations from a risk and trading
VaR Historical Simulation Approach – EXCEL
5 mins read 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.
Portfolio VaR – Variance Covariance Approach using the Short Cut technique – PROOF!!
2 mins read Portfolio VaR is a very important measure for assessing the market risk inherent in the entire portfolio of an entity.
Portfolio VaR
2 mins read Value at Risk is a measure of the worst case loss that may occur over a specified holding period for
Quant Training Videos: Value at Risk, Option Pricing, Monte Carlo Simulation and N(d1)
2 mins read If you want to go ahead and build your own Value at Risk (VaR) model for equities, currencies, commodities and bond, check out the Calculating Value at Risk Course below. Within the calculating VaR course we walk through VCV (Variance CoVariance) and Historical Simulation, Portfolio Value at Risk and VaR for Fixed Income securities.