Historical VaR for Market Risk

Name: Historical VaR for Market Risk
Availability: InStock
Rating: 5.00 (5 reviews)

This course provides an in-depth exploration of calculating Value at Risk (VaR) using the Historical method, a fundamental technique widely adopted in financial institutions to measure market risk.

Gain practical expertise in calculating Historical VaR for equity and fixed-income securities using Excel
Compare the parametric approach and the historical approach when calculating VaR for equities
Develop an understanding of key concepts such as Price VaR, Yield VaR, and duration when calculating VaR for bonds

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Corporate Finance Institute

Historical VaR for Market Risk

Overview

Historical VaR for Market Risk Overview

“Historical VaR for Market Risk” will equip financial professionals with the skills needed to calculate Value at Risk (VaR) using the Historical method, a widely adopted approach by financial institutions. The course covers both equity and fixed-income securities, providing a comprehensive understanding of how past returns can be used to measure market risk. Learners will gain hands-on experience through Excel-based exercises, where they will build and analyze Historical VaR models using real-life data. The course also covers essential concepts such as Price VaR, Yield VaR, and duration, with practical demonstrations to solidify understanding. By the end of the course, participants will be able to apply these techniques confidently to various financial instruments, enhancing their ability to measure market risk.

Who Should Take This Course?

This course is ideal for financial professionals, risk managers, and analysts who want to deepen their understanding of market risk assessment using the Historical VaR method. It is also suited for those seeking practical experience in applying VaR calculations to both equity and fixed income securities in real-world scenarios.

Historical VaR for Market Risk Learning Objectives

List reasons why the historical approach is the Value at Risk (VaR), methodology most widely used by financial institutions
Calculate Historical VaR for equities in Excel using historical price data
Calculate the duration for a bond and use this to estimate changes in the bond’s price
Differentiate between Rate VaR and Price VaR with respect to bonds
Calculate VaR for bonds in Excel using historical market data

Prerequisite Courses

Recommended courses to complete before taking this course.

What You'll Learn

Lesson

Multimedia

Exams

Files

Qualified Assessment

This Course is Part of the Following Programs

Why stop here? Expand your skills and show your expertise with the professional certifications, specializations, and CPE credits you’re already on your way to earning.

Risk Management Specialization

Skills You’ll Gain Risk Identification, Regulatory Analysis, Risk Measurement, Risk Mitigation
Great For: Market Risk Analyst, Credit Risk Analyst, Compliance Officer, consulting, Enterprise Risk Manager, Audit

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What Our Members Say

EXCELLENT

VERY CLEAR, PRACTICAL & INFORMATIVE

CHRISTOFOROS KOUNTOURAKIS

Historical VaR for Market Risk

This course provides all the necessary knowledge required to understand the Historical VaR for Market Risk. Exercises provides enables you to use this knowledge in practical life.

Kailas Kasar

Historical VAR

Good content and good presentation. Exam questions should be more.

venugopal rajamanuri

Hard but necessary

I love the course and how the concepts are presented in a simple way to help you get the most out of the instruction.

Anthony Amos

Frequently Asked Questions

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Can I download the Excel files and financial modeling templates for the course?

Absolutely! All the files and templates needed in a course are available for download. Just look for a module that shows Downloadable Files within the course dashboard. See here for a visual guide on how to do this.

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You will have yearly access to the courses as long as you maintain an active subscription. All the courses are self-paced as well so you can take your time in learning without worrying about any deadlines. Click here to compare our available enrollment options.

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Students must complete all the video lessons, quizzes, and final assessments in each course. You can retake the assessments as many times as necessary until you reach an 80% passing grade. For more information on how to earn a course certificate, click HERE.

How are the exams conducted?

Students are required to complete an online assessment (Multiple choice questions, Fill-in-the-Blanks, and Excel Questions) at the end of each course. You can take the exams on your own schedule and will need to earn at least 80% to pass the course and earn your certificate of course completion. Please note that course exams can be repeated as many times as you need. Students are also required to complete the FMVA® final exam to earn their certification. How to Take a Qualified Assessment

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Historical VaR for Market Risk

Historical VaR for Market Risk Overview

Who Should Take This Course?

Historical VaR for Market Risk Learning Objectives

What You'll Learn

Introduction

Historical VaR for Equities

Bond Pricing and Duration

Historical VaR for Bonds

Course Summary

Qualified Assessment

This Course is Part of the Following Programs

Risk Management Specialization

What Our Members Say

CHRISTOFOROS KOUNTOURAKIS

Kailas Kasar

venugopal rajamanuri

Anthony Amos

Karen Muchai

Frequently Asked Questions