Join Mailing List

For latest news and information about Treasury and Financial Markets, enter your details below:

elearning > Value at risk

Print Preview Send to a Friend Share

Learn about the following:

What VAR is. An introduction to how VAR works. The influence of volatility, time and confidence on VAR. The difference between diversified and undiversified VAR. The strengths and weaknesses of VAR. How regulators see VAR.

Buy the full e-learning course now for just £14.95

If you have already purchased this e-learning course, login to view it.

Course Summary

var menuvar what it tells youvar and volatility

var and confidence intervalvar and timevar and diversification

  • 50 minutes
  • 13 question multiple choice test
  • What VAR is
  • An introduction to how VAR works
  • The influence of volatility, time and confidence on VAR
  • The difference between diversified and undiversified VAR
  • The strengths and weaknesses of VAR
  • How regulators see VAR

Value at Risk (VAR) - the details

1. What VAR is

  • What VAR tells you
  • Why you need to be careful

2. How VAR works

  • Volatility, what it is and how it describes risk, example
  • Standard deviation, what it is and how it used, example
  • Confidence intervals, example
  • How much money you can lose, example
  • Not a guaranteed maximum

3. Volatility and time

  • How VAR responds to increasing volatility, example
  • What this means for dealers
  • How time affects VAR, holding periods and their assumptions, example
  • 10 days and 99%, why often is often used

4. Diversification

  • What it is and how it is measured (correlation), example
  • Undiversified and diversified VAR, what they are
  • How correlations affect diversified VAR, examples
  • Undiversified and diversified VAR, when they are used

5. The strengths and weaknesses of VAR

  • Simplicity
  • An improved risk measure
  • Adding VARs
  • Diversification
  • Normal market assumption
  • Options
  • Failure to capture non market risks
  • Why VAR is still used

6. Regulators and VAR

  • Backtesting
  • VAR Assumptions
  • Additional risk reporting

7. Summary

8. Test

Related Documents

Free to ViewTraining Courses > Value at Risk 100% relevant

Free to ViewTraining Courses > Balance Sheet Risk Management 92% relevant

Free to ViewRegulation > Does liquidity risk overshadow market risk? 85% relevant

23rd January 2010

In a world where regulators are focusing on liquidity and capital it's easy to overlook market risk. In many firms this means interest rate exposure. In the UK with Bank Rate at an all time low it's tempting to think that hedging fixed rate assets is just a waste of money. After all why pay 3.25% on a 5 year swap when 3 month Libor is only 51 basis points? Surely matching the interest basis on assets and liabilities ends up costing you 274 bps doesn't it?

Registration RequiredValue at Risk (VAR) Guide 85% relevant

Free to ViewShort courses>Value at risk 84% relevant

Free to ViewUnderstanding Risk 84% relevant

19th May 2011

Presentation: ALM Good Practices Seminar 18th May 2011