Course Details

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Course Contents

1. Introduction
2. VaR Methods

a. Variance Covariance Approach
b. Historical Simulation Method
c. Monte Carlo Simulation
d. Quick Review
e. Implementing VaR

3. Methodology

a.  Setting the Scene
b.  Preliminary steps
c.  VaR Approach Specific Steps
d.  Scaling of the daily VaR

4. Caveats, Qualifications, Limitations and Issues
5. Case Study – Risk for the Oil and Petrochemical Industry

a. A Framework for Risk Management
b. Risk Policy
c. Good Data and a First Look at Models
d. Models and Tools
e. Metrics and Sensitivities
f. Limits and Control Process
g. Conclusion

Number of pages

30

File Size

1.5 MB

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Master Class: Calculating Value at Risk (VaR): Introduction