Portfolio VaR and ES

Lesson Overview

In "Portfolio Strategies & Risk" → "Portfolio-Level Risk", this lesson "Portfolio VaR and ES" builds knowledge you can apply immediately.

Historical VaR 95%: worst 5% daily loss. Expected Shortfall averages tail. Monitor portfolio VaR vs. limit daily.

Core Concepts

These points align with the video walkthrough—take notes as you watch.

• ▸Historical VaR 95%: worst 5% daily loss.
• ▸Expected Shortfall averages tail.
• ▸Monitor portfolio VaR vs.
• ▸limit daily.

Practical Application

After studying, complete the companion practice lesson to move from understanding to doing.

• ▸Follow along in Jupyter or VS Code
• ▸Log how parameter changes affect backtest results
• ▸Submit a reproducible analysis notebook

FAQ

• ▸Q: How does this lesson fit the course? A: Part of "Portfolio-Level Risk"—follow the curriculum order.
• ▸Q: What do I need? A: Demo account and notes; quant lessons need a Python environment.
• ▸Q: How do I know I've mastered it? A: Pass the quiz and explain three key points of Portfolio VaR and ES on your own.