If you are a new student to risk measurement, and especially if you are a Part 1 FRM candidate, our video is especially important because it describes a foundational idea that is applicable across asset classes. This video illustrates exactly what we mean by the delta-normal approach to value at...
I read somewhere that the full revaluation VaR will be underestimated compared to linear approximation. How is this possible? I thought delta normal VaR underestimates due to the convex nature of options
I came across a practice question (not from BT) for which I can't make sense of the answer and am hoping somebody can shed some light on:
A portfolio has a current market value equal to $5,334,500 with a daily variance of .0002. Over the years the portfolio has increased its...
Please help in understanding the below
VaR of a long call option (delta normal)
Delta = .75
VaR of a Short call option (delta normal)
Delta = .75
Please revert with calculation, I wish to know if the VaR for both is excatly...
please can you help clarify this for me?
the delta -normal approachof VaR is applied to a portfolio with a linear distribution, assuming that an asset with nonlinear distribution like a mortgage backed security is added to the portfolio , this approach becomes extremely less accurate...
If given an annual drift and annual volatility, how should one go about finding the daily VaR?
I appologize, but this is from another source and I believe they did it incorrectly.
I think you divide the annual volatility by sqrt(250) and the annual drift by 250 and then use