Value at Risk - Ch.7: Portfolio Risk: Analytical Methods



Reading Source: Textbook - Value at Risk

Topics Covered in this Reading:

  • Portfolio VaR
  • VaR Tools
    • Marginal VaR
    • Incremental VaR
    • Component VaR
  • Examples
  • VaR Tools for General Distributions
  • From VaR to Portfolio Management
    • From Risk Measurement to Risk Management
    • From Risk Management to Portfolio Management
  • Appendix - Matrix Multiplication

Value at Risk - Ch.7: Portfolio Risk: Analytical Methods

Does anyone have any memorization/helpful tricks to easily remember the different VaR formulas? I know the material recommends using Beta, but I didn’t find that overly helpful.



My plan is to make some kind of formula sheets from the more “calculation-intensive” chapters to at least familiarize myself. The nice thing is that it seems like for the really hard formulas there’s a good chance that they’ll give them to us on the exam!


Does anyone else have any other ideas? I’m not the biggest fan of just trying to memorize formulas… I find it never works for me!! :grimacing: