Step-by-Step Portfolio Std Dev and VaR Calculations | Value at Risk

Calculating the Value at Risk (VaR) for two positions requires the calculation of the 'Portfolio Standard Deviation', and in turn, this requires the calculation of the correlation coefficient between positions. This episode explains the full formula and also considers different correlation values as examples to aid understanding.

Understanding the calculation using two positions is a critical step before moving on to look at full portfolio risk management techniques, which can have a dramatic effect on trading.

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This is Episode 12 in the Darwinex 'Institutional-Grade Risk Management Techniques' Playlist: https://youtube.com/playlist?list=PLv-cA-4O3y979Ltr9wQ2lRJu1INve3RCM

Video Contents:
00:00 Calculating VaR for 2 Assets
00:24 Why Darwinex?
01:13 Portfolio Std Dev and Correlation
01:33 Benefits of Portfolio Risk Management
03:24 Value at Risk Calculations
05:48 Portfolio Standard Deviation Calculation
08:23 Impact of Correlation on Std Dev
10:57 Summary and Next Episodes

Content Disclaimer: Past performance is not a reliable indicator of future results. The contents of this video (and all other videos by the presenter) are for educational purposes only and are not to be construed as financial and/or investment advice.

Risk disclosure: https://www.darwinex.com/legal/risk-disclaimer