value-at-risk

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...

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...

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...

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

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...

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...

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...