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portfolio-value-at-risk

  1. M

    Help me understand something about portfolio VaR calculations?

    Couldn't we combine the portfolio first to get the distribution of portfolio log returns and then calculate the portfolio VaR from there? Why do we need to compute individual VaRs and then combine them together using the var-covariance matrix?
  2. D

    Value at risk estimation via statistics

    Hi guys, For my (master) project I am trying to find the probability that a random variable, which is normally distributed, exceeds a quantile that is estimated by a limited number of observations. See attached for my attempt. - Is it correct? - How to incorporate the fact that the mean and...
  3. Nicole Seaman

    P2.T8.710. Portfolio value at risk (VaR) and surplus at risk (SaR)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  4. David Harper CFA FRM

    Component versus Incremental value at risk (VaR), Level 2

    Hi, Andrew raises a good question here, with respect to GARP's sample question. The setup gives a typical two-asset portfolio with correlations and asks, "If asset 1 is dropped from the portfolio, what will be the reduction in portfolio VaR?" I think that's a bit of a mean question because it...
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