Market Risk Measurement with Value at Risk (VaR)

Measuring financial exposure is critical for anyone managing investments, trading portfolios, or corporate assets. Value at Risk (VaR) is the industry standard for quantifying market risk, yet many struggle with its mathematical foundations and practical implementation. This text-only course guides you from the fundamental concepts of financial risk to building your own analytical models. You will gain the confidence to analyze portfolio volatility, apply statistical methods, and make data-driven risk management decisions. What you'll learn: Understand the core terminology, principles, and regulatory context of market risk management; Calculate VaR using historical simulation, parametric (variance-covariance), and Monte Carlo frameworks; Apply portfolio diversification principles to assess how asset correlations impact overall market risk; Evaluate the limitations of VaR and calculate modern complementary metrics like Expected Shortfall; Perform basic backtesting to validate the accuracy and reliability of your risk models. You will start with essential risk terminology and foundational statistics before moving step-by-step through practical calculation methodologies and modern risk reporting practices. Designed for finance students, junior analysts, and professionals transitioning into risk management, this course requires no prior advanced financial engineering experience. Start mastering the quantitative tools used by risk professionals worldwide to protect financial portfolios.