VaR & Expected Shortfall - Measurement
Duration
0m
Students
1
Level
Beginner
Last Updated
June 24, 2025

Objectives
On completion of this tutorial, you will be able to:
- Calculate VaR using the three different models/methodologies - historical simulation, variance/covariance, and Monte Carlo simulation
- List the advantages and disadvantages of each measurement approach
- Calculate expected shortfall (ES)
- 1 Sections
- 2 Lessons
- 0m Duration
VaR & Expected Shortfall - Measurement
2 Lessons
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