Courses

Introducing Value-at-Risk


Description
Value-at-Risk (VaR) is a widely-used risk measure in finance. However it is not without weaknesses if its limitations are not fully appreciated.

This course focuses on VaR, including what it is, its relationship to probabilities, assumptions and many of the methods used to estimate it for financial assets.

The course includes the interpretation of VaR statements, parametric VaR, conversions between VaR types and application to multi-asset portfolios. Issues of non-normality are addressed through historical (and historical simulation) VaR, Cornish-Fisher VaR and Monte-Carlo simulation VaR. Monte-Carlo simulation is also used in an example calculation for a call option.

Examples are provided throughout to help practitioners appreciate key concepts.

The estimated time required to complete this course is 6-8 hours.
Content
  • 1A Introduction
  • 1B Introduction
  • 2 What is Value-at-Risk?
  • 3A Volatility
  • 3B Volatility
  • 4A The VaR Statement & Basic Parametric VaR
  • 4B The VaR Statement & Basic Parametric VaR
  • 4C The VaR Statement & Basic Parametric VaR
  • 4D The VaR Statement & Basic Parametric VaR
  • 5A Basic Value-at-Risk Methods
  • 5B Basic Value-at-Risk Methods
  • 5C Basic Value-at-Risk Methods
  • 5D Basic Value-at-Risk Methods
  • 5E Basic Value-at-Risk Methods
  • 5F Basic Value-at-Risk Methods
  • 5G Basic Value-at-Risk Methods
  • 6A Parametric VaR with Many Assets
  • 6B Parametric VaR with Many Assets
  • 6C Parametric VaR with Many Assets
  • 6D Parametric VaR with Many Assets
  • 6E Parametric VaR with Many Assets
  • 7A Improving Parametric VaR: Cornish-Fisher VaR
  • 7B Improving Parametric VaR: Cornish-Fisher VaR
  • 7C Improving Parametric VaR: Cornish-Fisher VaR
  • 7D Improving Parametric VaR: Cornish-Fisher VaR
  • 7E Improving Parametric VaR: Cornish-Fisher VaR
  • 7F Improving Parametric VaR: Cornish-Fisher VaR
  • 8A Improving Historical VaR: Historical Simulation VaR
  • 8B Improving Historical VaR: Historical Simulation VaR
  • 8C Improving Historical VaR: Historical Simulation VaR
  • 9A Monte-Carlo Simulation VaR
  • 9B Monte-Carlo Simulation VaR
  • 9C Monte-Carlo Simulation VaR
  • 9D Monte-Carlo Simulation VaR
  • 9E Monte-Carlo Simulation VaR
  • 9F Monte-Carlo Simulation VaR
  • 9G Monte-Carlo Simulation VaR
  • 10 Summary
  • TEST: Introducing Value-at-Risk
  • SURVEY: Introducing Value-at-Risk
Completion rules
  • All units must be completed
  • Leads to a certification with a duration: Forever