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June 11, 2013

Value at Risk, what you should know, overview and detail

Last week I presented Value at Risk to a meeting of the CFA Institute. The brief was to provide an introduction to  Value at Risk, why it is used in capital markets, how is it calculated, strengths and weaknesses. As such it needed to provide an introduction, some detail and an analysis, all in 1 hour with an audience with lots of questions and perspectives. 

[slideshare id=22762966&doc=value-at-risk-130610143632-phpapp01]

 

A copy of my presentation can also be viewed on slideshare, by clicking on Value at Risk Presentation.

The presentation covers:

  • The need for VaR
  • A definition of VaR
  • VaR methods
  • VaR and Historical Simulation
  • Changes since the 2008 crisis
  • Strengths and weaknesses

I hope you find this useful.

Please do send me any comments you have.

Amir


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