# Calcul variance

Cours vidéo gratuit de statistique, moyenne, variance et ecart-type - YouTube

The Calculating VaR (Value at Risk) video course takes an in-depth look at the calculation methodologies of the Value at Risk measure. We review Value at Risk (VaR) calculation methods in particular the Variance-covariance approach and the Historical simulation approach. We build a simple portfolio comprising of Euro, Australian dollar, Yen, GBP, Brent, WTI, Gold and Natural Gas and calculate VaR for the portfolio using both of these methodologies.

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We start with a review of Value at Risk (VaR) calculation methods including VaR by variance-covariance, VaR by historical simulation and VaR by Monte Carlo simulation, build a simple portfolio and calculate VaR for the first of the above two methods. We close with a review of applying a Value at Risk (VaR) approach to risk management within the petrochemical industry as well as a review of known issues in Value at Risk (VaR) calculations and results.

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