Hi,
I have the following understanding - Does this make sense or am I missing something here?
We may choose to accept a 99% VAR model with 95% or 99% (or any other) level of confidence. Hence, using Jorian's example from book, assuming we use a 99% VAR (i.e. p=.01), over 250 days (i.e. T=250)...
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...
I've noticed that when calculating VaR/variance/std. dev of 2+ assets (or portfolio), sometimes the correlation/covariance is included, and sometimes it's not.
I.e. for standard deviation of 2 assets:
sqrt[w(1)^2*variance(1) + w(2)^2*variance(2)+2*w(1)*w(2)+covariance(1,2)] where (1) = asset 1...
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...
As per logic if there is economic boom var has to be low and high if there is bust.which implies it is countercyclical. However if time varying volatility is incorporated Var tends to be procyclical
Can some one explain why?
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...
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...
Learning objectives: Explain expected loss, unexpected loss, VaR, and concentration risk, and describe the differences among them. Evaluate the marginal contribution to portfolio unexpected loss. Define risk-adjusted pricing and determine risk-adjusted return on risk-adjusted capital (RARORAC)...
In 2006, UBS reported no exceedences on its daily 99% VaR. In 2007, UBS reported 29 exceedances. To test whether the VaR was biased, you consider using a binomial test. Assuming no serial correlation, 250 trading days, and an accurate VaR measure, you calculate the probability of observing n...
Dear all,
studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies.
1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e...
Hello,
This is a concept question with historical var. If the time period you are analyzing has no losses can you use historical var? If so would it be zero or just the lowest positive return?
Any help is appreciated! Thank you!
Assuming Lambda = 0.96
Window Period= 10 to 200 days
From what I have seen there are 2 formulas for the hybrid approach.
Formula 1 (1-lambda)*(lambda)^(n-1)
&
Formula 2 (1-lambda)*(lambda)^(n-1)/(1-(lambda)^window period)
This is a excel working using both the formulas. The window period is...
I haven't bought the Bionic Turtle Study Set yet. I am moving through all the concepts from the GARP Material and additionally the BT Youtube Videos by David Harper and they were really excellent as they helped me in understanding parts which I haven't been able to get through from the...
Learning outcomes: Describe and calculate the stressed value-at-risk measure introduced in Basel 2.5, and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk...
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...
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