Market Risk Modeling with Historical VaR in Excel

Understanding market risk is essential for protecting investment portfolios from unexpected downturns. This text-based course guides you through the fundamentals of Historical Value at Risk (VaR), one of the most widely used risk metrics in finance. You will transition from understanding basic risk concepts to building your own Historical VaR models for equities and fixed-income portfolios. By learning how to structure historical price data and apply statistical formulas in Excel, you will gain the practical skills needed to quantify potential portfolio losses. What you will learn: 1. Understand the foundational concepts of market risk, volatility, and the definition of Value at Risk (VaR). 2. Calculate historical returns for equities and bonds using clean, structured Excel formulas. 3. Apply Excel statistical functions and modern dynamic arrays to determine portfolio percentile losses. 4. Analyze the differences between VaR and Expected Shortfall (ES) to capture tail risk more effectively. 5. Perform basic stress testing and backtesting to validate your historical risk models. The course begins with key terminology and the theoretical foundations of market risk before walking you through step-by-step Excel formulas. You will learn to organize historical data, calculate portfolio returns, and interpret risk metrics through clear written explanations and structured examples. Designed for aspiring risk analysts, finance students, and portfolio managers, this course requires only a basic familiarity with Excel and no prior risk management experience. Start building robust market risk models and elevate your financial analysis skills today.