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  1. 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...
  2. 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...
  3. K

    Inconsistent Scaling in VaR/Standard Deviation for 2+ Assets/Portfolio

    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...
  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.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...
  7. S

    Is Var procyclical or countercyclical

    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?
  8. Nicole Seaman

    P2.T5.703. VaR backtest and VaR mapping

    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...
  9. Nicole Seaman

    P2.T5.702. Nonparametric value at risk (VaR)

    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...
  10. 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...
  11. 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...
  12. Nicole Seaman

    P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)

    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)...
  13. P

    GARP.FRM.PQ.P1 VAR Exceedances (garp10-p1-39)

    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...
  14. M

    Computation of the standard error of a coherent risk measure

    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...
  15. O

    Historical var when you have no losses in time period analyzed

    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!
  16. jairamjana

    Hybrid Approach Weights Formula

    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...
  17. jairamjana

    Learning Spreadsheets Request

    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...
  18. Nicole Seaman

    P2.T7.520. Basel 2.5 with stressed VaR, IRC and CRM (Hull)

    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...
  19. 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...
  20. 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...
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