Value at Risk (VaR)- ### Define the concept of Value-at-Risk (VaR)
Value-at- Risk (VaR) is a general measure of risk dev...
COURSE
Value at Risk
This series provides an overview of the concept of Value at Risk (VaR). It then provides an introduction to how VaR is calculated and the three key methods for calculating VaR.
- We earlier saw how VaR can be calculated using the parametric method. We will now look at this metho...
- The fundamental assumption of the Historical Simulations methodology is that you base your results o...
- In the previous post, we learned the algorithm to compute VaR using Monte Carlo Simulation. Let us c...
- Monte Carlo Simulations correspond to an algorithm that generates random numbers that are used to co...
- Financial Institutions are often faced with risks other than normal market risk. That is especially ...
- There are three major methodologies for calculating VaR. - Parametric - Monte Carlo - Histori...
LESSONS
Analytical Approach to Calculating VaR (Variance-C...
Calculating VaR Using Historical Simulation
Monte Carlo Simulation - Example
Calculating VaR using Monte Carlo Simulation
Application of VaR to Non-Market Areas
Three Methodologies for Calculating VaR
