How to Calculate Value at Risk Using Historical or Monte Carlo Simulation
- On-demand
- About
In this webinar we will walk you through a ‘how to’, using RiskConfidence to measure and manage market and balance sheet VaR (Value-at-Risk), we will cover:
- Introduction to VaR concepts
- VaR framework in RiskConfidence
- VaR deep dive and demo:
- How to do historical simulation of risk factors
- How to do Monte-Carlo simulation of risk factors
- How to understand the valuation process in VaR
- How to understand VaR results: Loss Distribution/VaR/Expected Shortfall/Component VaR/Marginal VaR/Dimension
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