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David Harper CFA FRM
FAQ Before Exam What is the pass rate for the FRM?
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harshadsc3
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Whatsapp group for FRM part 2 Nov 2019
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1,078
Ruyam
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Equity VaR
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vivek8
Nicole Seaman
YouTube T5-04: Value at Risk (VaR) Backtest
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29
Nicole Seaman
Nicole Seaman
YouTube T5-03: Expected shortfall: approximating continuous, with code
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Nicole Seaman
Nicole Seaman
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Errors Found in Study Materials P1.T3. Financial Markets & Products
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JamesVU2000
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Is scanning passport required for name change?
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Nicole Seaman
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Calculate Bond Maturity
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David Harper CFA FRM

Latest resources

Resource icon David Harper CFA FRM
FRM prior Managing Credit Risk 2019-02-26
The Great Challenge for the Global Financial Markets
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65
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Resource icon David Harper CFA FRM
FRM prior Measuring and Managing Credit Risk by de Servigny 2004
Quantitative approaches for default risk
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41
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2018 Part 2 GARP Practice Exam Nicole Seaman
Practice Part 2 (P2) 2018 Part 2 GARP Practice Exam 2019-01-24
2018 Part 2 GARP Practice Exam
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448
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2018 Part 1 GARP Practice Exam Nicole Seaman
Practice Part 1 (P1) 2018 Part 1 GARP Practice Exam 2019-01-24
2018 Part 1 GARP Practice Exam
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542
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2019: R78 - Kopp, Cyber Risk, Market Failures, and Financial Stability Nicole Seaman
FRM reading 2019: R78 - Kopp, Cyber Risk, Market Failures, and Financial Stability v1
IMF Working Paper 2017
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111
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Part 1 - 2019 Curriculum Analysis Spreadsheet Nicole Seaman
Syllabus Part 1 - 2019 Curriculum Analysis Spreadsheet v1
Part 1 - 2019 Curriculum Analysis Spreadsheet
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260
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Part 2 - 2019 Curriculum Analysis Spreadsheet Nicole Seaman
Syllabus Part 2 - 2019 Curriculum Analysis Spreadsheet v1
Part 2 - 2019 Curriculum Analysis Spreadsheet
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159
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2019 FRM Learning Objectives Nicole Seaman
Syllabus 2019 FRM Learning Objectives v1
2019 GARP FRM Learning Objectives
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98
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2019 GARP FRM Study Guide Nicole Seaman
Syllabus 2019 GARP FRM Study Guide v1
2019 GARP FRM Study Guide
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113
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2018 GARP FRM Study Guide Nicole Seaman
Syllabus 2018 GARP FRM Study Guide 2018-01-08
Official GARP FRM Study Guide for 2018
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205
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Latest profile posts

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Kindly advise how many observations need to calculate daily VaR?
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Matthew Graves
Completely depends on what you're trying to achieve. You can calculate Daily VaR with as few as 30 days worth but obviously this will not be particularly stable over time. If you want a more long term, stable value I would suggest a years worth or 252 business days.
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Hassan2016
Thanks Matthew, Can I go longer than 1 year?
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Matthew Graves
Of course.
H
Hi David, Kindly advise how many observations need to calculate daily VaR?
Nicole Seaman
Nicole Seaman
Hello @Hassan2016. Please see the private message that I responded to. We do not provide one-on-one support in private messages or on profile pages like this. All of our support is provided in our public forum so it can also help other members. Thank you.
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