Value at Risk

This course provides insight in the concept of risk and explains how it differs from uncertainty. The lessons cover in-depth the quantification of risk by means of various methodologies, both on the level of an individual position and a complex portfolio. Next to value at risk, stress tests are given attention.

This course covers the following video lessons:

1. Dynamic & flexible
2. The meaning of the value at risk
3. 3 value at risk methods – Introduction
4. The parametric approach
5. Linearity versus non-linearity
6. Relevant parameters – Introduction
7. Relevant parameters – Confidence level
8. Relevant parameters – Time horizon
9. Relevant parameters – Typical settings
10. Historical simulation – Introduction
11. Historical simulation – Pros & cons
12. Monte Carlo simulation – Introduction
13. Monte Carlo simulation – Models
14. Monte Carlo simulation – Different probability distributions
15. Monte Carlo simulation – Step-by-step application
16. Monte Carlo simulation – Practical application in Excel
17. Stress testing – Introduction
18. Stress testing – Ways to perform stress tests
19. Stress testing – Worst case performance & worst losing streak
20. Stress testing – Expected shortfall – Introduction
21. Stress testing – Expected shortfall – Example
22. Stress testing – Disadvantages
23. 3 value at risk methods – Advantages & disadvantages – Comparison
24. 3 value at risk methods – Advantages & disadvantages – Listings
25. Calculations – Individual position – 1
26. Calculations – Individual position – 2
27. Calculations – Portfolio – 2 positions
28. Calculations – Correlation coefficients – Impact on VaR
29. Calculations – Correlation coefficients – Limitations
30. Calculations – Portfolio – 3 positions
31. Calculations – VaR versus P&L
32. Calculations – FX exposures
33. Cash flow at risk