Variance Covariance Archives

Finance Training Course – Course Outline – Risk and Derivative Pricing Crash Course

2 mins read Risk management and derivative pricing concepts are closely interlinked. As practitioners we come across a wide range of issues that sit at the intersection of both subjects. An integrated skill building exercise that is aimed at professionals who deal with pricing, valuation, risk, policy and reporting issues related to structured fixed income and foreign exchange transactions.

Calculating Value at Risk – Approach Specific Steps

5 mins read Calculating Variance-Covariance (VCV) Value at Risk (VaR) This method assumes that the daily returns follow a normal distribution. From the

Calculating Value at Risk – Data & Return Series

4 mins read Methodology Setting the Scene Sample Portfolio Our sample portfolio that we will use for calculating Value at Risk (VaR) consists

Value at Risk Calculation – Introduction

2 mins read One of the most pertinent questions in risk management has been: How much do you stand to lose, over a