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

• Calculate VaR using the three different models/methodologies - historical simulation, variance/covariance, and Monte Carlo simulation
• List the advantages and disadvantages of each measurement approach
• Calculate expected shortfall (ES)

Tutorial Overview This tutorial describes the three different approaches that banks use for calculating VaR and the advantages/disadvantages of each. The tutorial also looks at the measurement of expected shortfall and the associated regulatory requirements. Prerequisite Knowledge VaR & Expected Shortfall - An Introduction Tutorial Level: Intermediate Tutorial Duration: 60 minutes