How to Calculate Value at Risk Using Historical or Monte Carlo Simulation

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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