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E-Learning Course: Value at Risk (VAR)
Intuition
The aim of this course is to provide users with an understanding of the concept of value at risk (VAR) as used in risk measurement, and to describe in detail the three alternative methodologies for calculating VAR. Topics covered in the course include the variance-covariance, Monte Carlo and historical simulation approaches to measuring VAR, the benefits/drawbacks of each of these three methods, the regulatory issues surrounding the use of VAR, backtesting, stress testing and extreme value theory.
Objectives
In this course, you will explore:
- the basic VAR concept and the statistical theory behind it
- the variance-covariance, Monte Carlo and historical simulation approaches to calculating VAR
- Basel Committee standards for the use of VAR models to calculate market risk capital requirements
- the concepts of backtesting, stress testing and extreme value theory in risk measurement
Prerequisite Knowledge
A good understanding of statistics, mathematics and financial markets is assumed.
Learner Profile
This course is designed for:
- senior managers
- new recruits to banking and financial organizations
- all risk management staff
- treasury department staff
- finance personnel
- IT staff
- compliance and regulatory staff
Language
English
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