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value at risk

  1. 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...
  2. 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...
  3. Nicole Seaman

    P1.T4.410. Value at risk, linear and non-linear

    Concept: These on-line quiz questions are not specifically linked to AIMs, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical AIM-by-AIM question such that the intended difficulty level is nearer to an actual...
  4. Nicole Seaman

    P1.T4.409 Value at risk (VaR), basic

    Concept: These on-line quiz questions are not specifically linked to AIMs, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical AIM-by-AIM question such that the intended difficulty level is nearer to an actual...
  5. C

    GARP.2010.PQ.P2 Questions about Long Short VaR (garp10-p2-17)

    17. The bank’s trading book consists of the following two assets:\ Correlation (A, B) = 0.2 How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B? Assume there are 250 trading days in a year. a. 0.2286 b. 0.4581 c. 0.7705 d...
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