Rigorous trainer selection
Each trainer is validated on three criteria: hands-on field expertise, proven pedagogy and alignment with your industry.
- Triple validation: technical, pedagogical, sectoral.
- Minimum rating 4.8/5 over the last 12 sessions.
Learning objectives
- Master parametric and historical models for calculating VaR
- Develop skills in Monte Carlo simulation for VaR in a business context
- Design robust backtests to validate VaR models
- Implement advanced stress-testing and Expected Shortfall approaches
- Optimize VaR calculations for Basel III regulatory compliance
- Integrate VaR into professional portfolio management strategies
The Learni story
Founded by passionate learning and innovation experts, Learni's mission is to make professional training accessible to everyone, anywhere in the world. Our team operates in major hubs — London, New York, Boston — and internationally, to support talents and organizations in upskilling.
Don't let this gap widen
Why this program matters
Without this upskilling, your team accumulates a technological gap that translates directly into productivity loss.
Organizations that don't train their talents on key topics see their competitiveness drop.
Every quarter without training is a gap widening with competitors who invest.
The cost of inaction quickly exceeds that of well-targeted training.
Program
Module 1Parametric Value at Risk (VaR) Models: variance-covariance and distributions (Python, R, Excel)
Discover the advanced foundations of parametric VaR models through practical exercises on Python and R, calculate normal and t-Student VaR using real financial market datasets, implement dynamic covariance matrices, analyze the limitations of Gaussian assumptions through concrete market shock cases, produce visual reports with Matplotlib and ggplot2 for immediate professional presentation.
Module 2Historical and Filtered Value at Risk (VaR) Methods: bootstrap and EWMA (advanced quantitative tools)
Dive into non-parametric approaches with historical VaR, perform bootstrap simulations on 10 years of equity/bond data, integrate EWMA/GARCH filtering to capture conditional volatility, test on past crises like 2008, develop automated Python scripts for daily recalculation, generate performance comparisons between models to optimize your business risk forecasts.
Module 3Monte Carlo Simulation for Value at Risk (VaR): extreme scenarios (random vectors, GPU)
Master advanced Monte Carlo for multi-asset VaR, generate millions of trajectories with NumPy and copulas, incorporate jumps and fat tails via Lévy models, apply to complex portfolios of derivatives/equities, validate with GPU accelerations for real-time processing, analyze convergence and biases through practical exercises, produce interactive 3D visualizations for impactful management reports.
Module 4Backtesting, Stress Testing, and ES for Value at Risk (VaR): Basel Compliance (Kupiec, Christoffersen)
Conclude with Kupiec/Christoffersen backtests on VaR, implement historical/regulatory stress tests, transition to Expected Shortfall for Basel III, develop interactive dashboards with Dash/Streamlit, simulate black swan scenarios, assess RWA capitalization, end with a personal deliverable project certifying your professional risk management skills.
Evaluation method
- Daily technical quizzes on VaR models
- Real case studies with backtesting
- Final project: Complete VaR model and report
Learning method
- Practical exercises 70% of the time
- Real financial market cases
- Personalized pedagogical support
- Active and gamified methods
Methods, materials and delivery
The Training Value at Risk (VaR) - Mastering Advanced Risk Models program is delivered onsite or remote (blended-learning, e-learning, virtual classroom, remote presence). At Learni, an industry-certified training organization, every program is built to maximize skills acquisition regardless of the chosen format.
The trainer alternates between demonstrative, interrogative and active methods (through hands-on labs and/or scenarios). This pedagogical approach guarantees concrete learning that's immediately applicable at work.
Equipment required
For the smooth delivery of the Training Value at Risk (VaR) - Mastering Advanced Risk Models program, the following equipment is required:
- Mac or PC computers, high-speed fiber internet, whiteboard or flipchart, projector or interactive touch screen (for remote sessions)
- Training environments installed on workstations or accessible online
- Course materials, hands-on exercises and complementary resources
- Post-training access to materials and educational resources
For intra-company training on a site outside Learni, the client commits to providing all required teaching materials (computers, internet, etc.) for the smooth delivery of the program in line with the prerequisites in the communicated program.
* contact us for remote delivery feasibility** ratio varies depending on the program
Skills assessment methods
Assessment of skills acquired during the Training Value at Risk (VaR) - Mastering Advanced Risk Models program is performed through:
- During training: case studies, hands-on labs and professional scenarios
- End of training: self-assessment questionnaire and skills evaluation by the trainer
- After training: completion certificate detailing acquired skills
Program accessibility
Learni is committed to making its programs accessible. All our programs are accessible to people with disabilities. Our teams are available to adapt the pedagogical methods to your specific needs. Please contact us for any adjustment request.
Enrollment terms and lead times
Learni programs are available inter-company and intra-company, onsite or remote. Enrollments are possible up to 48 business hours before the program starts. Our programs are eligible for corporate funding paths. Contact us to discuss your training project and funding options.
Verified reviews
What our learners
★★★★★
« cool, j'ai appris des trucs »
★★★★★
« j'etais perdu au debut mais Ramy Saharaoui m'a pas laché, il a pris le temps. merci vraiment »
★★★★★
« la formation dev etait intense mais grave bien. merci Anthony Khelil »
★★★★★
« 😊👍 »
★★★★★
« bien 👍 »
★★★★★
« Allan Busi t'es au top, continue comme ça. formation géniale »
★★★★★
« cool, j'ai appris des trucs »
★★★★★
« j'etais perdu au debut mais Ramy Saharaoui m'a pas laché, il a pris le temps. merci vraiment »
★★★★★
« la formation dev etait intense mais grave bien. merci Anthony Khelil »
★★★★★
« 😊👍 »
★★★★★
« bien 👍 »
★★★★★
« Allan Busi t'es au top, continue comme ça. formation géniale »
★★★★★
« cool, j'ai appris des trucs »
★★★★★
« j'etais perdu au debut mais Ramy Saharaoui m'a pas laché, il a pris le temps. merci vraiment »
★★★★★
« la formation dev etait intense mais grave bien. merci Anthony Khelil »
★★★★★
« 😊👍 »
★★★★★
« bien 👍 »
★★★★★
« Allan Busi t'es au top, continue comme ça. formation géniale »
Our method
Training quality, guaranteed at every step
Before, during, after: we frame the brief, introduce the trainer, tailor the content and measure impact. You stay in control from kickoff to wrap-up.
You meet the trainer beforehand
30-minute video call between you and the selected trainer to validate the fit, adjust content and clear any final doubts.
- Live briefing on goals and team context.
- Veto right — we swap the trainer for free if needed.
Content tailored to your context
No recycled slides. The syllabus is reworked from your real cases: tools, constraints, vocabulary, ongoing projects.
- Hands-on cases drawn from your stack and projects.
- Program co-written then validated by your team.
Continuous quality follow-up
Live evaluations, 30/90/180-day check-ins and a consolidation plan. If the impact misses the mark, we rework it.
- NPS, knowledge quizzes and skills self-assessment.
- Satisfaction guarantee: fully satisfied or free rework.
A simple promise: you don't pay to discover the trainer on day one. Everything is validated upfront, by you.
Your professional training, anywhere
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