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value-at-risk

  1. Nicole Seaman

    YouTube T5-04: Value at Risk (VaR) Backtest

    When we specify something like a 95% value at risk or 95% VaR, we mean that 95% is the confidence level and, therefore, 5% is the significance level. That means we expect on 5% of days for the actual loss to be worse than the VaR or to exceed the VaR. This video is about the backtest of a VaR...
  2. Nicole Seaman

    Carol Alexander | Market Risk Analysis, Value at Risk Models (Volume IV)

    Value-at-Risk Models forms part four of the Market Risk Analysis four-volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics...
  3. Nicole Seaman

    YouTube T4-01: Three approaches to value at risk (VaR) and volatility

    The three approaches are 1. Parametric; aka, analytical; 2. Historical simulation; and 3. Monte Carlo simulation (MCS). The parametric approach assumes a clean function, the other two work with messy data. Historical simulation is betrayed by a histogram, MCS is betrayed by a random number...
  4. Nicole Seaman

    YouTube T1-5 What is the (Basic) Historical Simulation approach to value at risk (VaR)?

    Basic historical simulation sorts the actual loss history and, for example, the 95th HS VaR is the 6th worst out of 100 observations. Here is David's XLS: http://trtl.bz/frm-t1-5-hs-var
  5. Nicole Seaman

    YouTube T1-2 What is value at risk (VaR)?

    Value is risk is just a statistical feature of probability distribution (the hard part is specifying the probability distribution): VaR is the quantile associated with a selected probability; i.e., what's the worst that can happen with some level of confidence? See David's XLS here...
  6. Nicole Seaman

    P2.T5.701. Value at risk (VaR) and expected shortfall (ES)

    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...
  7. Nicole Seaman

    P2.T5.700 Value at risk (VaR) basics

    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...
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