Value at Risk (VaR)

With Ben Sopranzetti, Ph.D., Rutgers University

  • What is value at risk?
  • Variance-Covariance method, historical simulation, or Monte Carlo simulation?
  • Limitations of VaR
  • Extensions of VaR

This is a webcast from our 2012 online conference event dedicated to Risk – Risk Week. This presentation sets the stage for Dr. Ben Sopranzetti’s acclaimed presentation on Expected Shortfall scheduled for November 17th and part of Risk Week 2014.

Risk Week 2014 - Value at Risk
November 17, 2014 – EXPECTED SHORTFALL: WHEN AND WHY?
Ben Sopranzetti, Ph.D. – Rutgers University
  • Value at Risk or Expected Shortfall: Which, When, and Why?
  • What is Value at Risk and why can it lead to dangerously risky trading positions?
  • What is tail risk and how can Expected Shortfall help to better protect against it?

November 18, 2014 – FIVE YEARS AFTER THE CRISIS, WHAT ARE WE DOING DIFFERENT FROM A RISK PERSPECTIVE?
Bernd Fischer, Ph.D. – IDS

November 19, 2014 – TBA
November 20, 2014 – RISK ATTRIBUTION
John D. Simpson, CIPM – The Spaulding Group

November 21, 2014 – WHAT WE KNOW AND DON’T KNOW ABOUT RISK
John M. Longo, Ph.D., CFA – Rutgers University/ The MDE Group

  • The nature and history of risk
  • Risk drivers
  • Common risk metrics, their strengths and weaknesses
  • Navigating Black Swan Risks

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