| Description
| This course gives students an overview of VaR, viewed in its broader risk management context. Totally, there will be three parts in this course. Part One is an introduction, which discusses the origins and basics of VaR in the context of recent developments in the theory and practice of risk management. Part Two deals with the approaches of measuring VaR, including variance-covariance approach, historical simulation, Mote Carlo simulation and stress testing. Part Three then deals with risk management issues from a VaR perspective, including 1) decision-making rules, such as investment and hedging rules; 2) credit risks; 3) liquidity, operational and legal risks; 4) capital allocation; 5) firm-wide risk management.
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