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Calculating VaR – EXCEL

SKU 00018
$13.99
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Product Details

About the course

The course consists of an EXCEL file that demonstrates the calculation of the Value at Risk (VaR) measure using the following approaches:

  1. Variance-covariance (VCV) simple moving average (SMA) approach
  2. Variance-covariance (VCV) exponentially weighted moving average (EWMA) approach
  3. Historical simulation approach

These approaches are used to calculate, from historical price/ rate series, individual VaR measures for a commodity, currency pair, equity shares and a fixed income product. VaR for the portfolio as a whole is also determined. The calculations include:

  • Determination of return series from historical prices series
  • Determination of volatilities (for Variance covariance approaches)
  • Determination of VaR based on volatilities (for Variance covariance approaches), confidence level and holding period

Learning Objectives

After taking this course you will be able to:

  • Calculate VaR using the VCV SMA approach for individual securities and a portfolio of securities
  • Calculate VaR using the VCV EWMA approach for individual securities and a portfolio of securities
  • Calculate VaR using the Historical Simulation approach for individual securities and a portfolio of securities

Prerequisites

The candidate 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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