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

What are the additional topics I can read up on?

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


Random Testimonial

  • ~ Student Testimonials

    "Concise, to the point. Very informative and very practical.”


    “I loved the course!! Very interesting. Good lectures.”


    “Excellent, very informative and inspiring.”


    “In total awe of the way he taught…”


    “Well versed with the subject and able to transmit the subject properly.”


    “Excellent. If the time could be extended this would be an even better learning experience.”


    Excellent teaching skills. The instructor made every effort to explain most complicated finance concepts in simplest possible ways."

  • Read more testimonials »