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  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

    Delta normal VAR

    Hi David, Nicole, I have question about the delta normal VAR in P1.T4. When I have a yearly expected return [E(r) year - z*(sigma year/ sqrt 250) *$] given in a question how should I translate this for e.g. to a daily expected return. I know it is somewhere in the BT material but I can't find...
  3. Nicole Seaman

    P1.T4.806. Putting value at risk (VaR) to work (Allen Ch.3)

    Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing...
  4. Nicole Seaman

    P1.T4.805. Linear and non-linear derivative value at risk (VaR) (Allen)

    Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's $1.0 million bond portfolio contains...
  5. David Harper CFA FRM

    FRM T1. Foundation > Learning Spreadsheets: Commentary

    FRM P1 > T1 > Intro to VaR (xls): Value at Risk Hello! We are uploading revised learning spreadsheets that I've been working to improve. I wanted to share some information about them. I am going to start at the beginning in this informal series. In terms of a natural sequence, the first...
  6. F

    Delta-normal method to calculate VaR for Linear Derivatives

    I would appreciate if someone could explain in layman terms what is the Delta-normal method. Also could someone explain how the following 2 positions are equivalent: 1. A 1 year forward contract to purchase pounds for dollar 2. A combination of 3 positions: a) A short position in a US...