# VaR (Value at Risk) – Learning Roadmap

Value at Risk is a risk measure that conveniently expresses as a single number the answer to the question “*What is your worst case loss, over a certain period of time and given a certain level of probability?*” There are a number of methodologies used for calculating the measure such as the Variance Covariance approach, the Historical Simulation approach and the Monte Carlo simulation approach.

# What are the prerequisites?

Prior to gaining an understanding of the Value at Risk Concept a useful introduction to understanding risk is our online video course:

- Quant Crash Course

# What topics are covered?

Proceeding from this introduction the following courses review the calculation methodology of Value at risk (VaR) and provide an example of its use as a risk measurement tool via a case study on margin requirements determination for the Oil and Petrochemical Industry:

- Calculating Value at Risk
- Value at Risk Case Study

# What are the additional topics I can read up on?

Other applications of the VaR measure are :

- Its incorporation within various Asset Liability Management tools such as in determining the fall in Market Value of Equity,
- In setting market risk and counterparty (PSR) Limits,
- In calibrating Stop Loss Limits, etc.

These are discussed in the following courses:

- Asset Liability Management
- Setting Counterparty Limits, Market Risk Limits & Liquidity and Interest Rate Risk Limits

**Related Video Courses**

- Quant Crash Course
- Calculating VaR (Value at Risk) using VCV and Historical Simulation
- Setting Value at Risk (VaR), Stop Loss, Pre Settlement (PSR) and Counterparty Limits

**Related PDF Files**

**Related EXCEL Fles**

- ALM Crash Course – EXCEL Example (Examples include: Cost to close liquidity gaps, Cost to close interest rate risk, Earnings at risk, Market value of equity)
- Setting Limits
- Calculating VaR – EXCEL Example
- Duration Convexity Example
- Portfolio VaR – EXCEL Example

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- Setting Value at Risk, Stop Loss, Pre Settlement and Counterparty Limits – Course Outline
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