Three approaches to value at risk (VaR) – 6 min screencast

by David Harper, CFA, FRM, CIPM

FRM |

This is a brief introduction to the three basic approaches to value at risk (VaR):

• Historical simulation
• Monte Carlo simulation
• Parametric VaR (e.g., delta normal)

Screencast:

Comments

1. Be the first to leave a comment!

Leave a Comment

Browse Categories

• Financial Risk Manager (FRM)
• Chartered Financial Analyst (CFA)
• Risk Measurement & Management
• Quantitative Methods
• Financial Statement Analysis
• Professional Tools
• Certification Exams

Related Articles

• Metallgesellschaft case – 6 min briefcast
  
• Surplus at risk – spreadsheet
  
• Surplus at risk (SaR) – 5 min briefcast
  
• How subordinated debt acts in the Merton model – key tips and spreadsheet example
  
• Best hedge – 6 min briefcast
  
• RAPMs – Spreadsheet
  
• Risk-adjusted performance measures (RAPMs) – 10 min briefcast
  
• 2008 FRM Cram Session
  
• Security Market Line (SML) – 9 min briefcast
  
• Capital Market Line (CML) – 10 min briefcast
  

Forum Q&A