VaR Calculation Methods

Lesson Overview

In "Quant Risk Framework" → "VaR Framework", this lesson "VaR Calculation Methods" builds knowledge you can apply immediately.

Historical VaR: past returns 5th percentile. Parametric VaR: normal, μ − 1.65σ. Compare on same portfolio.

Core Concepts

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

• ▸Historical VaR: past returns 5th percentile.
• ▸Parametric VaR: normal, μ − 1.65σ.
• ▸Compare on same portfolio.

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 "VaR Framework"—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 VaR Calculation Methods on your own.