Instructional Video: Calculating and Applying VaR

Linda Allen, Chapter 3: Putting VaR to Work is a 30-minute instructional video analyzing the following concepts:

* Explain and give examples of linear and non‐linear derivatives.
* Describe and calculate VaR for linear derivatives.
* Describe the delta‐normal approach to calculating VaR for non‐linear derivatives.
* Describe the limitations of the delta‐normal method.
* Explain the full revaluation method for computing VaR.
* Compare delta-normal and full revaluation approaches for computing VaR.
* Explain structural Monte Carlo, stress testing and scenario analysis methods for computing VaR, identifying strengths and weaknesses of each approach.
* Describe the implications of correlation breakdown for scenario analysis.
* Describe worst-case scenario (WCS) analysis and compare WCS to VaR

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