# Tag Archives: Value at Risk

## Calculating Value at Risk (VaR) with or without VCV matrix

Value at Risk – Calculating Portfolio VaR for multiple securities with & without VCV Matrix . In an earlier VCV Matrix post we had presented the theoretical proof of how the portfolio VaR obtained using the short cut weighted average return method produces the same

## Value at Risk for Swaps – Interest Rate & Cross Currency Swaps VaR

Value at Risk for Interest Rate & Cross Currency Swaps – EXCEL worksheet overview The Historical Simulation approach has become the default approach for us to work with when it comes to non liquid securities linked to liquid primary markets. Long dated cross currency and

## Value at Risk. VaR models methods & metrics using EXCEL

Calculating Value at Risk (VaR). Comparing VaR models, methods & metrics Have you ever wondered what Value at Risk (VaR) numbers would look like across the same data set but using the different calculation approaches? In today’s VaR Excel spreadsheet walk through session we will

## Solved Solution – Value at Risk (VaR) Margin Lending Prime Brokerage Case Study

Solved Solution for Value at Risk (VaR) Margin Lending Margin. Prime Brokerage Case Study 36 hours ago we posted our Value at Risk (Margin Lending applications for Prime Brokerage) question and case study as part of the weekend Quant Challenge series. Here is the high

## Calculating Value at Risk. FRM MBA Workshop Transcript. Day One

Calculating Value at Risk. Lecture transcript. Part II. Dubai. Please see the Financial Risk Management Training Course page for background, related transcripts, resources and downloads. Figure 1 Risk Management Workshop: Action plan Risk Management: Volatility, Value at Risk (VaR) Now to our Action Plan. Today we

## Calculating Value at Risk Example

Calculating Value at Risk Example This Value at Risk (VaR) case study shows how to calculate VaR in Excel using two different methods (Variance Covariance and Historical Simulation) with publicly available data. What you will need The Value at Risk resource and reference page. Data set for Gold spot prices which can

## Asset Liability Management (ALM) Study Guide for Board Members – coming soon to an iPad near you.

Jawwad Farid Asset Liability Management (ALM) is the primary source of directors and senior executive grief at bank board meetings. The reporting is standard, the numbers concise but the terminology (despite many years of usage) is still exotic and confusing. The work that we have

## Financial Risk Management Workshop – Value at Risk, Volatility and Trailing correlations – Day One

Financial Risk Management MBA Workshop: Volatility, Value at Risk, Correlations and Daily Returns Session one started off with a quick review of volatility, standard deviation, value at risk and trailing correlations. Required Download for Financial Risk Session One The FinancialRisk-Price-data-set-Oil-Gold-Fuel Oil excel file includes raw

## Financial Risk Management MBA Course – Follow Jawwad Online as he teaches Risk in Dubai.

Jawwad Farid Financial Risk Management Course for MBA students I am teaching a short week long course on Financial Risk Management at the SP Jain Campus in Dubai. For the next seven days I will work with 30 MBA students and complete a full review

## Calculating Value at Risk for Options, Futures, FX Forwards

Value at Risk. VaR Options Futures FX Forwards In this course we provide a methodology for calculating the Value at Risk (VaR) measure for futures and options. The methodology that we have employed uses a Monte Carlo Simulator to first generate terminal prices series, then

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