European Master and Certification Program
in Risk Engineering and Management

FRME3-3:
Value at Risk (Excel)

Course code: 128068
Language of instruction: English
Lecturers: Prof. Dr. Dr. h.c. Dirk Linowski (Steinbeis University Berlin)
Assessment: Defined in the module

Short description

This course will present the computation and interpretation of Value-at Risk and expected shortfall.

Objectives

To understand and to interpret the principles of value-at-risk and the role of the underlying statistical assumptions about the practical value of this risk measure. To develop understanding whether VaR is sufficient for business needs or whether more complex measures, such as expected shortfall, will be required to meet the safety requirements of the business

Target Attendees / Participants

Students of Steinbeis Master of Business Administration

Course Content by Units

Origin of Value at Risk

Correlation and Covariance matrices

Goodness of fit tests

Interpretation and limitations of VaR

Expected shortfall

Teaching Methods

Classic lecturing

Free and interactive class discussion

Literature

Alexander Carol (2009): Market Risk Analysis, Value at Risk Models (Volume IV), Wiley. 

Benninga (2007): Principles of Finance with Excel, MIT Press.

Dempster M. A. H. (2002): Risk Management: Value at Risk and Beyond, Cambridge University Press.

Jorion Philippe (2006): Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, McGraw-Hill.

 

 


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Contact: via email sti889@risk-technologies.com or phone +49 711 1839 781 or +49 711 1839 647
(Course profile ID: FRME3-3:, generated on November 19, 2018)