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Value at Risk (VaR)
Video
by Jonathon Emerick
Tags
market riskquantitative financetail riskyoutube playlist
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for risk measurement and stress. Specialist prerequisites vary by resource.
Before you read
- Random Variables and Distributions
Represent losses as a distribution rather than one forecast.
- Expected Shortfall and Other Tail Risk Measures
Distinguish a loss quantile from the average loss in the tail.
Go further
- VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo
Compare risk estimators and their assumptions.
- Backtesting VaR and ES: Coverage Tests and Model Validation
Check forecasts against realised losses.
Explore a related reading path
- Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.