# VaR (Value at Risk) – Learning Roadmap

Value at Risk is a risk measure that conveniently expresses as a single number the answer to the question “What is your worst case loss, over a certain period of time and given a certain level of probability?” There are a number of methodologies used for calculating the measure such as the Variance Covariance approach, the Historical Simulation approach and the Monte Carlo simulation approach.

# What are the prerequisites?

Prior to gaining an understanding of the Value at Risk Concept a useful introduction to understanding risk is our online video course:

• Quant Crash Course

# What topics are covered?

Proceeding from this introduction the following courses review the calculation methodology of Value at risk (VaR) and provide an example of its use as a risk measurement tool via a case study on margin requirements determination for the Oil and Petrochemical Industry:

• Calculating Value at Risk
• Value at Risk Case Study

Other applications of the VaR measure are :

• Its incorporation within various Asset Liability Management tools such as in determining the fall in Market Value of Equity,
• In setting market risk and counterparty (PSR) Limits,
• In calibrating Stop Loss Limits, etc.

These are discussed in the following courses:

• Asset Liability Management
• Setting Counterparty Limits, Market Risk Limits & Liquidity and Interest Rate Risk Limits

## Related Video Courses

• Quant Crash Course
• Calculating VaR (Value at Risk) using VCV and Historical Simulation
• Setting Value at Risk (VaR), Stop Loss, Pre Settlement (PSR) and Counterparty Limits

## Related PDF Files

• Calculating VaR – includes case study
• ALM – Crash Course
• Setting Counterparty Limits

## Related EXCEL Fles

• ALM Crash Course – EXCEL Example (Examples include: Cost to close liquidity gaps, Cost to close interest rate risk, Earnings at risk, Market value of equity)
• Setting Limits
• Calculating VaR – EXCEL Example
• Duration Convexity Example
• Portfolio VaR – EXCEL Example

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• ~ Student Testimonials

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