Risk Modelling VaR Valuation


To give an understanding of Risk Modelling using VaR.  A basic to intermediate quant and risk knowledge is assumed.



- Risk Definition


- Value at Risk (VaR)

      Concept and Definition

      An Intuitive Approach

      A Simple Example


- Brief History


- How to Model and Calculate VaR

      Historical Simulation

        Concept and How to Model

        An Example


      Variance Covariance Method

        Concept and How to Model

       An Example


      Monte Carlo Simulation

        Concept and How to Model

        An Example


- Backtesting Positions and Composite Portfolios


- Stress Testing Positions and Composite Portfolios


- Comparison Against Alternative Measures of Risk


- Shortcomings of using VaR


- Expected Shortfall vs VaR


- Final Thoughts and Conclusion

Todays Date:

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