Value at Risk (VaR)

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  • This product is available at Udemy.
  • At udemy.com you can purchase Value at Risk (VaR) for only $199.99
  • The lowest price of Value at Risk (VaR) was obtained on July 26, 2025 4:17 pm.

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Last updated on July 26, 2025 4:17 pm

Description

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Value at Risk (VaR)

★★★★★
$199.99  in stock
Udemy.com
as of July 26, 2025 4:17 pm

Parametric, Monte Carlo and Historical VaR methods and their pros and cons

Created by: Tim Glauner
Head of Summit Capital Markets Americas GSC Finastra
Rating:4.56 (16reviews)     55students enrolled

What Will I Learn?

  • Understand VaR as a technique to estimate potential portfolio losses over a set period at a given confidence level​​​​.
  • Parametric VaR: Learn the variance-covariance approach using mean return and volatility to estimate loss, with key assumptions and the covariance matrix​​​​.
  • Monte Carlo VaR: Explore simulating risk scenarios to construct portfolio price distributions, covering steps from modeling to VaR computation​​​​.
  • Historical VaR: Use historical market data to estimate potential losses, focusing on data requirements and the importance of clean, continuous data​​​​.
  • Comparing VaR Methods: Compare Parametric, Monte Carlo, and Historical VaR, understanding their strengths, limitations, and suitability.

Requirements

  • Basic Understanding of Finance
  • Very basic Familiarity with Statistical Methods
  • No programming experience required

Target audience

  • Undergraduate Finance Students
  • MBA Students
  • Finance Professionals
  • Risk Analysts
  • Risk Analysts
  • Quantitative Analysts
  • Consultants
  • Regulatory Compliance Officers
  • Actuaries interested in Capital Markets risk management
  • Continuing Education for Finance Professionals

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