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delta-normal-var

  1. Nicole Seaman

    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. B

    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. afterworkguinness

    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. R

    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. B

    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. W

    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=...
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