Value at Risk using VCV - EXCEL

About the Course

The course consists of an EXCEL file that calculates the historical daily, weekly, monthly and yearly volatility (see cells T4-T7) of the price return series of WTI Crude Oil. The return series is also graphed. The daily Value at Risk measure for multiple confidence levels using the Variance Covariance Simple Moving Average Approach is calculated (see cells M4-M10). A basic back test using the histogram of returns is set up.

Learning Objectives

After taking this course you will be able to:

• Calculate volatility of a price return series
• Graph a distribution of returns
• Calculate VaR using the Variance Covariance Simple Moving Average Approach

Prerequisites

Familiarity with basic mathematics, statistics, probability, EXCEL and Value at Risk

Target Audience

The course is targeted towards intermediate 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.