FinAcademy › Risk Track I › VaR

Module R8 · VRM 1–2

Value at risk in practice

VaR and expected shortfall, the coherence axioms and which one VaR fails, spectral measures, then the three ways to compute VaR: historical simulation, delta-normal, and Monte Carlo with delta-gamma.

3 lessons · 9 interactive figures · 21 exercises

Module progress
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  1. 1VaR, expected shortfall and coherence
    VaR is a quantile. ES is the average beyond it. Only one of them adds up across desks.    7 exercises
  2. 2Historical simulation and stressed VaR
    Let history vote: 250 yesterdays, each replayed on today's portfolio, sorted worst to best.    7 exercises
  3. 3Delta-normal VaR and VaR for options
    If the portfolio is linear and the factors are normal, VaR is a formula. If the portfolio holds options, the formula is only as good as gamma is small.    7 exercises
Module test

20 questions drawn at random from the 21 exercises of this module, 48 minutes on the clock, marked instantly with the worked solution and a link back to the lesson for every miss.

Take the module testFinal mock exam