# Comparing Value at Risk - Model, Methods and Metrics - EXCEL

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Files Included: 1 worksheet

The course consists of an EXCEL sheet that demonstrates the calculation of a number of metrics for a portfolio comprising of positions in Crude Oil, EUR-USD, Gold and Silver. It includes the calculation of:

• Variance Covariance VaR (VCV) using the Simple Moving Average (SMA) Approach for individual positions as well as the portfolio
• Variance Covariance VaR using the Exponential Moving Average Approach for individual positions as well as the portfolio
• Historical Simulation Approach with Histograms for individual positions as well as the portfolio
• Monte Carlo Simulation Approach with Histograms for individual positions as well as the portfolio
• Incremental VaR for small changes in positions using the approximate approach
• Incremental VaR for small changes in positions using the full valuation approach
• Marginal VaR to calculate the reduction in VaR if a position is dropped from the portfolio
• Conditional VaR to calculate the expected excess losses, i.e. average loss amount given that losses exceed VaR for individual positions as well as the portfolio
• Probability of shortfall assuming that investment returns fall below a given goal for individual positions as well as the portfolio

#### Learning Objectives

After taking this course you will be able to:

• Calculate VCV SMA VaR for individual positions and the portfolio
• Calculate VCV EWMA VaR for individual positions and the portfolio
• Calculate Historical Simulation VaR for individual positions and the portfolio
• Calculate Monte Simulation VaR for individual positions and the portfolio
• Calculate Incremental VaR using the approximate and full valuation approaches
• Calculate Marginal VaR
• Calculate Conditional VaR
• Calculate the probability of shortfall

#### Prerequisites

Should be comfortable with basic mathematics, statistics, probability and EXCEL and some familiarity with markets and portfolio management.

#### Target Audience

The course is targeted towards intermediate and advanced users and is aimed primarily at individuals responsible for capital allocation, limit setting and risk management within banks, insurance companies, mutual funds, as well as finance departments of non-financial organizations who need to quickly review or refresh their understanding of VaR methodologies for work or professional development.

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