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...
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...
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...
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...
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...
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...
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