Value at Risk – Learning Roadmap

2 mins read time

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.

Value at Risk - Learning Roadmap

What are the prerequisites?

Prior to gaining an understanding of the Value at Risk Concept a useful introduction to understanding risk is our online 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:

Premium Content