In this class, we introduce Value-at-Risk (VaR), a fundamental tool for every risk manager.
When dealing with credit risk, the VaR is also known as C-VaR, where “C” stands for credit.

In words, the VaR is a measure of risk that tries to answer a simple but fundamental question: how bad can things get?
In statistical terms, it is just a quantile. Nothing to be scared of.

In defining Value-at-Risk, we will introduce the loss distribution, that is to say the statistical distribution of the losses (and the gains) we can expect for a given investment or, in the case of credit risk, for a given portfolio of loans, bonds, etc.

Here you can find the slides of this class. And here the script.