Objectives On completion of this tutorial, you will be able to:

• Define VaR and list its advantages and disadvantages
• Recall the building blocks for calculating VaR, such as confidence levels and correlations
• List the approaches that can be used to calculate VaR
• Recognize tail risks and how expected shortfall (ES) can help measure to them
• Define backtesting
• List the regulatory requirements relating to VaR and ES

Tutorial Overview Value at risk (VaR) is the key measure that risk managers use to measure, report, and manage market risk. This tutorial focuses mainly on VaR, but also covers why the events of the global financial crisis led to regulators replacing VaR with expected shortfall (ES) as part of the revised capital requirements for market risk. Prerequisite Knowledge Market Risk - Management Tutorial Level: Intermediate Tutorial Duration: 60 minutes