Value at Risk or VaR, a tool to master market risk, explained in clear terms with Excel model.

Value at Risk or VaR is a risk management tool banks use to manage their exposure to market risk. In the video we explain what VaR is and how you can calculate VaR yourself using historical price data. We show how to calculate Value at Risk with the help of a clear Excel example. The example follows the historical method using Yahoo finance data.

Good luck! André Koch
Stachanov Solutions & Services

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[kawinjar]

Thanks for the best explanation video.

[nhlanhlamsongelwa]

Thanks for the theory and the examples

[tJ-tzjk]

Thank you so much.. very easy to understand

[políticas_públicas]

Thanks for the work you did to bring us this great instructive video. Just one observation: in minute 10:24 you set the lower bin at -8%, but the delta range starts at -13%, as you did in the previous chart. Am I correct?

[qujinglin]

Thank you for the video and explaination. However, I wonder how you set up the bin value from-8% to 13%?

[gokulvisweswaran]

Is it possible to get the Excel sheet?

[mlacorte]

If I wanted to find the annual VAR how could I convert this number from daily to annual?

[aichamarzougui]

First of all, thank you for the explanation it's very helpful. However I got confused from 6:45 to 7:25, it says that 475 of cases are covered by the Var and 25 are not, then it proceeds to say that the orange area is covered by the VaR and the blue area is not, but then it says that 25 observations are in the blue tail (uncovered) and 450 are in the orange area (covered). isn't the 450 mentioned supposed to be 475? or there's something I don't get? I'm confused

[Kig_Ama]

7:16 how did u colored the areas differently with excel. Can't u just provide a download link to the excel file? Video liked and subscribed.

[indira]

Are those techniques being used world wide?

[carenjenny]

Any video or explanation on Profit-at-risk (PaR) plz?

[Im-Assmaa]

Thank you for the video. I have a question. How can I compute the quantiles for a specific p, using Rankit-cleveland method? It is used to estimate the value at risk using quantile regression and I am kind of stuck. please help

[peterfarina]

Thank you. I do have a question-how did you generate the chart? Thanks.

[itbeat]

maximum you can lose with confidence level 95% (arbirary set) with short time line (24 hr for example, as bank assume it can sell in financial market).

deltaprice equals natural log of todays price over yesterdays price.

look at frequency of those deltaprice.

[muayadnajm]

I request you to please explain. Measuring the credit shock and its reflection on the financial and banking safety, and that the translation in Arabic should be activated. Thank you for your patience, sir