Créer un site internet


VaR is one of the key measurements used by market risk to monitor a bank's trading book. 

It is usually defined as the percentile of the loss distribution from a ptf over a fixed period of time. 

Example: VaR of $1M --> 99% chance it will not lose more than that in the next trading day. 


There are many ways to calculate VaR --> most common is via historical simulation. 

Add a comment


The NEW website is OUT! 

Go have a look at

You will find the content in the 'Derivatives Academy' section in a book format. 
The full content is not yet available as I am rewriting it and improving it.

You can try the Exotic Derivatives pricer under the 'Derivatives Pricer' section ( I will speed up the page soon as I forgot to compress some images.
Each application allows you to price differents products and contains links towards the correct section of the book. 
You will then be able to get practical and theoretical knowledge quite easily.

I teach quite often using the pricer. You can get so much information and answers to your questions thanks to it.

Take advantage of it as much as you can to hone your knowledge!

If you are looking for junior opportunities in the field of market finance. Register yourself on the website. It's free!

If you have any questions, do not hesitate to contact me on