What's new

delta-normal-var

1. YouTube T4-03: Delta-normal value at risk

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...
2. One last question....delta normal vs full revaluation

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
3. Delta normal VaR

Hello, 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: Question: 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...
4. What will be the Delta Normal VaR for a Long Call option & a short Call option

Please help in understanding the below VaR of a long call option (delta normal) Delta = .75 Position= 50 price= 8 Vol= .25 VaR of a Short call option (delta normal) Delta = .75 Position= 50 price= 8 Vol=.25 Please revert with calculation, I wish to know if the VaR for both is excatly...
5. delta Normal approach

hi David 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...
6. Daily delta-normal VaR

Hi David, 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 VaR=...