Estimating Market Risk Measures (FRM Part 2 2025 – Book 1 – Chapter 1)

*AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams*

After completing this reading you should be able to:
- Estimate VaR using a historical simulation approach.
- Estimate VaR using a parametric approach for both normal and lognormal
return distributions.
- Estimate the expected shortfall given P/L or return data.
- Define coherent risk measures.
- Estimate risk measures by estimating quantiles.
- Evaluate estimators of risk measures by estimating their standard errors.
- Interpret QQ plots to identify the characteristics of a distribution.

0:00 Introduction
0:16 Learning Objectives
0:58 Estimating VaR using a Historical Simulation Approach
7:51 Estimating Parametric VaR
14:38 Estimating the Expected Shortfall Given P/L or Return Data
18:02 Coherent Risk Measures
20:47 Estimating Risk Measures by Estimating Quantiles
23:39 Evaluating Estimators of Risk Measures by Estimating their Standard Errors

[oakarmin]

Thank you very much for your lectures, professor. Helped me tremendously in passing the FRM exams. 😊

[wanqiwang]

Just passed part 1 and lucky to have part 2 videos for my 2020 May exam! Great lectures!

[Ignoramus.et.Ignorabimus]

Many thanks Professor Forjan for the FRM Part II: was really looking forward for this. God bless!

[SmilingSunFlower]

Hey Singapore results just known today and my boyfriend passed the exam with flying colour thanks for your videos! It really helps! Appreciated your hardwork putting in these video and tide us through the difficult period!

[hilfliger]

Your videos are very helpfull. Thank you very much!

[willarn]

Just passed level 1 thanks in part to your videos. On to level 2!
Your videos are great btw.

[gracege]

Hi, for monotonicity, could you please explian more about meaning of better value portfolio? do you mean better/higher return? if so, doesn't it mean higher risk (given higher return)? thanks for your help on advance!

[yshawn]

Very helpful. Big thanks. Hopeful there will be practice question explanation video in the future.

[ravivijay]

Are you going to make other book videos as well?

[candridz]

Wow!!! I've been expected this for long! I wonder at what pace will part 2 videos be released?

[felipemaestro]

Is there also videos available on your platform for the rest of the books in level 2 (Credit Risk, Liquidity Risk & so on... )??

[ntcuongct]

Dear friends, the XYZ company have multiple child companies, I can see each child company is "product" in the product portfolio. How can I define return or risk of each company?. Thanks.

[rohanjain]

Hi, when will you upload videos of other subjects?

[dglyn]

Hi professor, thank you so much for this. One question, if VaR takes into account the std of the portfolio (which is calculated using the correlation co-efficient between the two assets). How can we say that it fails at subadditivity? VaR is incorporating the diversification effects by including the correlation of the two assets. Thank you

[Kig_Ama]

11:40 There is no D in interim payments.