Product details

Value at Risk (VaR) quantifies the extent of possible financial losses within a firm or portfolio over a period of time at a given confidence level (under normal business conditions). Correlations among different asset classes constantly change over a period of time and it throws up interesting insights during crises period. Correlations play an important role in portfolio construction and have an impact on portfolio VaR. The case discusses how the pandemic affected portfolio risks and returns and how VaR can be a useful risk measurement tool. The case also goes into determination of VaR using parametric method and historical simulation method while covering its limitations.