The second course on Risk Management takes a deeper look at the calculation and the methods behind Value at Risk (VaR). We start with a review Value at Risk (VaR) calculation methods including VaR by variance-covariance, VaR by historical simulation and VaR by Monte Carlo simulation, build a simple portfolio and calculate VaR for the first of the above two methods. We close with a review of applying a Value at Risk (VaR) approach to risk management within the petrochemical industry as well as a review of known issues in Value at Risk (VaR) calculations and results.
(If you would like to buy the pdf version of Value at Risk course along with the supporting excel file, please see our Online Value at Risk (VaR) and IRS Pricing store)
Master Class: Calculating Value at Risk: Introduction
Master Class: Calculating Value at Risk (VaR): VaR Methods
Master Class: Calculating Value at Risk (VaR): First Steps
Master Class: Calculating Value at Risk (VaR): Final steps
Applications
Master Class: Risk for the Oil and Petrochemical Industry
Issues