e-Learning Course: How to Calculate Historical VaR

e-Learning Course:

How to Calculate Historical VaR

Real Solutions to Problems the Other Guys Won't Tell You About

May 31, 3:30-4:30 PM ET



Note: This event has passed. However, for a limited time we are making the recording available to those who buy the product now.  In addition to the recording, all the course materials will be provided. This includes a PowerPoint presentation, several Excel spreadsheets, and white papers.  The bonus TOPS model is also included.


Bonus: Get a FREE TOPS derivatives model with your registration. Details below

Course Overview

This course is going to tell you how VaR is really calculated, with all the blemishes and bruises of the real world. We're going to get our hands dirty, because we're going to get some real work done.

We will start with an overview of the three major types of VaR: Parametric, Monte Carlo and Historical, and how they differ. Then we will show how Historical VaR works in an ideal world. So if you're new to VaR, you'll see how that's done. But we're not going to spend an awful lot of time on the theory. Pretty quickly, we will get into the nuts and bolts of Historical VaR and show how to handle the host of problems other courses ignore:

  • normal vs lognormal distributions (yes, we know this is not Monte Carlo!)
  • how to deal with markets that are closed for weekends and holidays
  • correctly accounting for trends in historical data
  • what to do about negative rates
  • calculating VaR for multiple time horizons
  • how to use data from a calm market in turbulent times, and vice versa
  • and more


Who should attend

Savvysoft's VaR Masterclass is appropriate for anyone who deals with market risk:

  • Chief Risk Officers
  • Risk managers
  • Traders
  • Portfolio managers
  • Hedge fund managers
  • Quants
  • Model validators
  • A/L managers
  • Associates
  • Analysts
  • Programmers
  • Consultants


Instructor: Rich Tanenbaum

The training is going to be easy to follow. It's being given by Rich Tanenbaum, President of Savvysoft and a derivatives pioneer. Rich is the former head of Derivatives Research at a major bank, and has presented original reaearch at academic conferences and industry conferences, lectured at leading business schools, and given training to departments of leading banks and corporations. Savvysoft's models and trading systems have won numerous awards in global surveys, and Rich even invented Monte Carlo VaR, long before the term VaR existed. Savvysoft has implemented VaR many times inside its products, which is how they learned to deal with the topics covered in this training. With all that, though, Rich is known for his ability to explain complex concepts simply, delivered with a joke or two. So the training is going to be incredibly useful, and fun, too.


Sign up now for this vital training while space is available.

This training is LIVE, so you'll have a chance to ask any VaR-related questions and get them answered right away. There will also be a recording available to registered participants afterwards, and Savvysoft will also distribute the Excel spreadsheet used to demonstrate all the VaR calculations.

At Savvysoft, we work hard to make sure we have the world's most satisfied customers. One thing this entails is giving each client as much individual attention as they want, and this training is no different. So we are limiting the class size to ensure that in the Q&A everyone has a chance to get all their questions answered.

Slots are filling up fast, so register now to guarantee your space in the class.

BONUS: Get a FREE TOPS derivatives pricing model with your registration. Your choice of Average Price, Average Strike, Barrier, Better of Two, Bond, CapFloor, Commodity Swap, Convertible, LIBOR Curve Generator, Credit Default Probability Generator, Default Swap, Diff Swap, Digital, Forward, Interest Quote Converter,  Interest Rate Swap, IOPO, MBS, OIS Curve Generator, Option on Option, Quanto, Spread option, Standard Option, Swaption, Worse of Two

Questions? Feel free to call us at +1 212 742-8677 or email support@savvysoft.com