Jorion, Value at Risk: Portfolio Risk: Analytical Methods is a 48-minute instructional video analyzing the following concepts:
* Define, calculate, and distinguish between the following portfolio VaR measures: individual VaR, incremental VaR, marginal VaR, component VaR, undiversified portfolio VaR, and diversified portfolio VaR.
* Explain the role of correlation on portfolio risk.
* Describe the challenges associated with VaR measurement as portfolio size increases.
* Apply the concept of marginal VaR to guide decisions about portfolio VaR.
* Explain the risk-minimizing position and the risk and return-optimizing position of a portfolio.
* Explain the difference between risk management and portfolio management, and describe how to use marginal VaR in portfolio management.