Value at Risk (VaR) Modeling in Excel Masterclass
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Value at Risk (VaR) Modeling in Excel Masterclass
This course is part of Risk Management and Financial Analysis Specialization
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What you'll learn
Apply Historical, Delta Normal, and Monte Carlo VaR methods using Excel.
Analyze P&L distributions and interpret Value-at-Risk metrics for risk assessment.
Evaluate Stress VaR and Expected Shortfall to support advanced risk management decisions.
Skills you'll gain
- Finance
- Stress Management
- Variance Analysis
- Project Risk Management
- Risk Management
- Risk Management Framework
- Financial Modeling
- Risk Modeling
- Profit and Loss (P&L) Management
- Simulation and Simulation Software
- Environment
- Business Risk Management
- Probability Distribution
- Risk Analysis
- Financial Market
- Financial Management
- Excel Formulas
- Portfolio Risk
- Statistical Methods
Tools you'll learn
Details to know
June 2026
9 assignments
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There are 3 modules in this course
Master Value-at-Risk (VaR) using Excel with real-world financial applications.
Learn how top banks measure and manage market risk effectively. This course provides a complete, practical guide to understanding and calculating Value-at-Risk (VaR), one of the most widely used risk management tools in finance. You will explore key VaR concepts, methodologies, and real-world applications while building hands-on skills in Excel. Starting with foundational concepts, the course progresses into step-by-step implementation of major VaR models, including Historical Simulation, Delta Normal, and Monte Carlo methods. You will learn how to generate P&L distributions, interpret risk metrics, and compare different approaches used by financial institutions. The course also covers limitations of VaR and introduces advanced risk measures such as Stress VaR and Expected Shortfall, helping you develop a comprehensive understanding of modern risk management practices. By the end of this course, you will be able to confidently apply VaR techniques in Excel and make informed risk-based decisions in financial environments.
Build a strong foundation in Value-at-Risk (VaR) by understanding its definition, concepts, real-world applications, and key methodologies used in financial risk management.
What's included
4 videos3 assignments
4 videos•Total 12 minutes
- Introduction to Value-at-Risk•2 minutes
- Concepts of VaR•3 minutes
- Usages of VaR•4 minutes
- Type of VaR Methodology•3 minutes
3 assignments•Total 50 minutes
- Building the VaR Foundation •30 minutes
- Getting Started with Value-at-Risk•10 minutes
- Why VaR Matters in Risk Management•10 minutes
Develop practical skills in calculating VaR using Excel, including full revaluation and sensitivity-based approaches, while analyzing P&L distributions and risk metrics.
What's included
4 videos3 assignments
4 videos•Total 26 minutes
- Generic Steps to Calculate VaR•5 minutes
- Excel Demo of Full Reval•10 minutes
- Excel Demo of Full Reval Continue•5 minutes
- Excel Demo fo Sensitivity Based VaR•6 minutes
3 assignments•Total 50 minutes
- Structuring VaR Calculations in Excel•30 minutes
- From Process to Full Revaluation•10 minutes
- Continuing Full Revaluation in Practice•10 minutes
Explore advanced VaR methodologies such as Delta Normal and Monte Carlo, compare their effectiveness, and evaluate limitations with modern risk measures like Expected Shortfall.
What's included
4 videos3 assignments
4 videos•Total 28 minutes
- Delta Normal VaR Calculation•6 minutes
- Monte Carlo VaR Calculation•7 minutes
- Pros and Cons of 3 Methods•6 minutes
- Drawbacks and New Approaches•10 minutes
3 assignments•Total 50 minutes
- Comparing VaR Models and Their Limits•30 minutes
- Delta Normal and Monte Carlo Approaches•10 minutes
- Evaluating VaR Methods and Looking Ahead•10 minutes
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