Description

A focused course, tailored for you

The Market Risk Intern's First Production VaR Workbook

Move from textbook VaR exercises to a desk-ready workbook a risk manager will actually review on Monday morning.

Your internship ends in weeks and the deliverable that decides whether you get an offer is a working VaR workbook, not a write-up about VaR theory.

$199 one-time

Tailored to your situation. Access within 24 hours. 30-day money-back.

Includes a hand-built implementation playbook delivered alongside course access, generated for your specific situation.

Why this course

Most market-risk interns at a money-centre bank arrive with strong coursework on parametric VaR, historical simulation, and Monte Carlo, but no muscle memory for the actual desk artefact: a workbook that ingests a positions file, maps each position to risk factors, runs the three VaR methods side by side, reconciles them to the daily PnL, flags backtest exceptions, and surfaces a stressed-VaR overlay a market-risk officer can sign off on. The gap between a textbook exercise and that desk-ready workbook is where conversion to full-time happens. This course closes that gap before the internship ends, with templates that survive a real reconciliation meeting.

What you walk away with

A working VaR workbook that ingests a flat positions file and produces parametric, historical, and Monte Carlo VaR side by side.
A backtest tab with Kupiec p-value, traffic light, and a clean exception log a manager can read in thirty seconds.
A stressed-VaR overlay using a defensible historical stress window with documented factor moves.
A factor-mapping template covering rates, FX, equity, and credit spread positions typical of a bank treasury or trading book.
A reconciliation tab that ties VaR-implied PnL distribution to actual daily PnL attribution with a documented residual.

The 12 modules

Module 1. Reading the positions file the desk actually hands you

Bank position files arrive as flat extracts with inconsistent identifiers, missing maturities on swap legs, and FX pairs quoted both ways. This module walks through cleaning a representative file, normalising identifiers to a risk-factor master, and producing the loaded positions tab the rest of the workbook will reference. Includes a worked example with a mixed rates and FX book.

Module 2. Building a risk-factor master for a bank treasury and trading book

The factor master is the spine of every VaR run. This module builds a defensible master covering the rates curve key tenors, FX spot pairs, equity index spots, and credit spread buckets typical of a US money-centre bank treasury and trading book. Coverage gaps cause reconciliation breaks, so the module explicitly walks the residual unmapped factor check.

Module 3. Sourcing and cleaning historical risk-factor returns

Three years of clean daily returns on every factor in the master is the minimum viable historical window. This module covers sourcing from common bank market-data systems, handling holidays and missing observations, deciding between absolute and relative shocks for each factor class, and producing the returns matrix the historical-simulation and Monte Carlo engines will consume.

Module 4. Parametric VaR with a defensible covariance estimate

Variance-covariance VaR is the fastest method and the one most likely to mislead. This module builds a parametric engine with an exponentially weighted covariance matrix, exposes the lambda choice, and shows how the parametric result diverges from historical simulation when fat tails appear. A worked walk-through reproduces the workbook on a sample bank trading book.

Module 5. Historical-simulation VaR and the full-revaluation question

Historical simulation requires deciding between a delta-gamma approximation and full revaluation of optionality. This module builds both, demonstrates the divergence on a portfolio with embedded optionality, and produces a decision rule for when delta-gamma is defensible versus when full revaluation is required. The result is a tab a market-risk officer can read in a single page.

Module 6. Monte Carlo VaR with a transparent factor model

Monte Carlo is where most intern workbooks turn into black boxes the manager will not sign off. This module builds a Monte Carlo engine with an explicit Cholesky decomposition of the covariance matrix, a documented number of paths, and a reproducibility seed. The output tab shows the path distribution alongside the parametric and historical numbers for direct comparison.

Module 7. The backtest tab a market-risk officer will actually read

Backtesting is what gets a workbook accepted or rejected. This module builds a clean backtest with daily exception counts, a Kupiec p-value, a Christoffersen independence test, and a Basel traffic-light flag. Includes the exact one-line summary sentence the workbook needs at the top of the tab so an officer can read it without scrolling.

Module 8. Stressed VaR with a defensible historical window

Stressed VaR is required under the bank's market-risk rule and is the artefact most likely to come back with rework requests. This module walks the choice of the stress window, the documentation of factor moves during the window, the application of those moves to current positions, and the production of a stressed-VaR number reconcilable to the bank's official run. A separate tab shows the window-sensitivity check.

Module 9. Reconciling VaR-implied PnL to actual daily PnL attribution

The reconciliation tab is where a workbook either earns trust or gets returned. This module ties the VaR-implied PnL distribution to the daily PnL attribution feed, identifies the missing risk factors causing the residual, and produces a documented reconciliation note an officer can sign off on. The walk-through uses a representative bank trading book with realistic residuals.

Module 10. Documenting the workbook for the next intern

Internship transitions break when the workbook is undocumented. This module produces the model documentation package the bank's model risk function actually wants: methodology, assumptions, limitations, factor coverage, backtest history, and reconciliation evidence. Includes a one-page summary that doubles as the artefact the intern presents at the end-of-summer review.

Module 11. Surfacing the workbook to the desk without breaking it

A workbook that lives only on the intern's laptop dies when the intern leaves. This module covers shared-drive structure, file naming convention, version control via dated copies, and a refresh checklist a successor can follow without supervision. Covers the practical question of when to ask for a Python rewrite and when the spreadsheet is the right artefact for the seat.

Module 12. The end-of-internship presentation that converts to a full-time offer

The presentation is the artefact the hiring decision is made on. This module walks the structure: the workbook demo, the backtest evidence, the reconciliation walk-through, the one stress result that surprised the desk, and the one improvement the intern is proposing to leave behind. Includes a tested narrative arc that has produced offer conversions from money-centre bank market-risk internships.

How this addresses your situation

Specific modules that map to what you said you are dealing with.

If the desk asks for a VaR walk-through tomorrow, start with module 4 and 5 to anchor the parametric versus historical contrast.

If a backtest exception triggered a manager question, start with module 7 and 9 to produce the explanation and the reconciliation in the same hour.

If the end-of-internship review is in three weeks, work modules 1 through 9 in sequence and run module 12 in the final week.

If a model risk officer asked for documentation, jump to module 10 and use the package template against the existing workbook.

What you get with this course

Twelve written modules with downloadable workbook templates per module.
A starter positions file and historical returns matrix used in every walk-through.
A worked end-of-internship presentation deck the intern can adapt.
The hand-built implementation playbook tuned to the buyer's bank seat, delivered alongside course access.
Thirty-day money-back guarantee.

What you will have in hand by Day 1, Week 1, Month 1

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.

Modules 1 through 6 cover the first build, completable in the first week of evening work.

Modules 7 through 9 cover backtest, stressed VaR, and reconciliation, completable in the second week.

Modules 10 through 12 cover documentation, hand-off, and the end-of-internship presentation, completable in the third week.

Before and after

Before

The intern can describe parametric VaR in a sentence, knows the historical-simulation formula, and has run a Monte Carlo example in a coursework notebook, but has nothing on the shared drive that a market-risk officer would open without supervision.

After

The intern has a documented workbook on the shared drive that ingests a positions file, runs three VaR methods, backtests cleanly with a Kupiec p-value, applies a defensible stressed-VaR overlay, and reconciles to the daily PnL attribution within a documented residual. The end-of-internship presentation walks that workbook, and the desk asks the intern to leave it behind.

What happens if you do not address this

The internship ends without a desk-ready artefact the manager can point to in the conversion conversation. The offer goes to a peer whose workbook was usable on day one.

Who it is for

A market-risk intern or first-year analyst at a US money-centre bank or regional bank, sitting close to a market-risk officer, expected to produce desk-ready spreadsheets that reconcile to the daily PnL within a week of being asked. Strong on the maths from coursework, light on the workbook craft that converts the maths into something a manager will actually open.

Who this is NOT for. Not for senior quants building production VaR engines in C++ or kdb. Not for portfolio managers consuming VaR outputs. Not for credit-risk or operational-risk learners. Built specifically for the market-risk intern or first-year analyst seat at a bank treasury or trading book risk function.

How it arrives

Text-based course in the Art of Service learning environment, plus downloadable workbook templates and worked examples for every module, plus the hand-built implementation playbook tuned to the buyer's bank market-risk seat, delivered alongside course access.

Time investment. Roughly twenty to thirty hours total across three weeks, paced for an intern working evenings around the day seat.

Why $199 is the right number

Free risk-management blog posts cover VaR theory but not the workbook craft. University coursework covers the maths but not the desk artefact. Generic CFA or FRM study material covers the exam but not what an officer will sign off on. This course is the workbook craft a bank market-risk seat actually uses.

FAQ

Do I need Python?

No. The workbook is built in spreadsheet form because that is the artefact most bank market-risk officers actually open. Module 11 covers when to propose a Python rewrite and when the spreadsheet is the right answer for the seat.

Will this reconcile to my bank's official VaR run?

The reconciliation tab is designed to surface the residual between an intern-built workbook and the official engine. The point is documenting the residual, not matching to the last basis point. The implementation playbook addresses the specific factor coverage of your desk.

What if my internship ends before I finish module 12?

Modules 1 through 9 are the workbook build and are completable in two weeks of evening work. Module 12 is the presentation, runnable in a single evening once the workbook is built.

Can I share the workbook with my manager?

Yes. The templates are unlicensed for personal use including sharing the resulting workbook within your employer.

30-day money-back guarantee. If after a week of working through the materials this is not what you needed, reply to the receipt email and a full refund is processed. No questions, no forms.

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.