This course introduces the three methodologies to calculate VaR, historical simulation, variance-covariance and monte carlo simulation. A quick review of some basic statistics is covered prior to explain VaR. Examples of calculations for VaR are given for each methodology. The advantages and disadvantages of each methodology are reviewed. Applications for VaR are explored. How VaR fits into a firm wide risk management program is discussed. Stress testing and backtesting are also introduced and their importance in a risk management program examined.

By the end of the program, the course participant will be able to:

• Distinguish between the different VaR methodologies
• Discuss normal distributions, variance, volatility, correlation, covariance and z-scores
• Understand the main applications of VaR such as limit setting and risk adjusted return on capital (RAROC)
• Recognize how VaR is used in a risk management program
• Distinguish between internal and regulatory models
• Discuss how stress testing and backtesting are used in conjunction with VaR to form a picture of risk

This course is targeted towards those with little or no knowledge of VaR appropriate for anyone with an interest in this area. Delegates with only a basic business background will benefit regardless of their experience, current job function, or employer.