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

Name: How to Calculate Value at Risk Using Historical or Monte Carlo Simulation
Start: 2021-09-21T09:30:00+01:00
End: 2021-09-21T10:30:00+01:00

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scheduleTuesday, September 21, 2021 | 09:30 BST | 16:30 HKT

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live_tv 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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