filmov
tv
Value-at-Risk Explained
Показать описание
The 2008 financial crisis showed banks that a liquidity crisis could have catastrophic results, possibly resulting in the bank’s failure. Not surprisingly, banks now take great interest in assessing liquidity risk. One way to measure liquidity risk is value-at-risk (VaR).
VaR measures the maximum potential loss in the value of a financial instrument over a period of time (called the “VaR time horizon”) for a certain confidence level.
For example, let’s say a bank paid $940 for a corporate bond with a face value of $1,000. The value of this bond will fluctuate on a daily basis as interest rates change.
But what if you want to know the maximum loss the bank could expect to have on the bond in the next 6 months, with a 90% confidence level?
Let’s say you perform an analysis and find that the VaR for the next 6 months at a 90% confidence level is $200. This means the maximum expected loss is $200 in the next 6 months, but there is a 10% chance that the maximum loss will turn out to be higher than $200.
You can estimate the VaR using historical returns or Monte Carlo simulation.
We can apply the same concepts behind VaR to examine the effects of risk factors, such as changes in interest rates or currency exchange rates, on the bank’s economic value of equity (EVE) and net interest income (NII).
• Equity-at-risk is the maximum decrease in the bank’s EVE for a given time period and confidence interval
• Earnings-at-risk is the maximum decrease in the bank’s NII for a given time period and confidence interval
—
Edspira is the creation of Michael McLaughlin, an award-winning professor who went from teenage homelessness to a PhD. Edspira’s mission is to make a high-quality business education freely available to the world.
—
SUBSCRIBE FOR A FREE 53-PAGE GUIDE TO THE FINANCIAL STATEMENTS, PLUS:
• A 23-PAGE GUIDE TO MANAGERIAL ACCOUNTING
• A 44-PAGE GUIDE TO U.S. TAXATION
• A 75-PAGE GUIDE TO FINANCIAL STATEMENT ANALYSIS
• MANY MORE FREE PDF GUIDES AND SPREADSHEETS
—
SUPPORT EDSPIRA ON PATREON
—
GET CERTIFIED IN FINANCIAL STATEMENT ANALYSIS, IFRS 16, AND ASSET-LIABILITY MANAGEMENT
—
LISTEN TO THE SCHEME PODCAST
—
GET TAX TIPS ON TIKTOK
—
ACCESS INDEX OF VIDEOS
—
CONNECT WITH EDSPIRA
—
CONNECT WITH MICHAEL
—
ABOUT EDSPIRA AND ITS CREATOR
VaR measures the maximum potential loss in the value of a financial instrument over a period of time (called the “VaR time horizon”) for a certain confidence level.
For example, let’s say a bank paid $940 for a corporate bond with a face value of $1,000. The value of this bond will fluctuate on a daily basis as interest rates change.
But what if you want to know the maximum loss the bank could expect to have on the bond in the next 6 months, with a 90% confidence level?
Let’s say you perform an analysis and find that the VaR for the next 6 months at a 90% confidence level is $200. This means the maximum expected loss is $200 in the next 6 months, but there is a 10% chance that the maximum loss will turn out to be higher than $200.
You can estimate the VaR using historical returns or Monte Carlo simulation.
We can apply the same concepts behind VaR to examine the effects of risk factors, such as changes in interest rates or currency exchange rates, on the bank’s economic value of equity (EVE) and net interest income (NII).
• Equity-at-risk is the maximum decrease in the bank’s EVE for a given time period and confidence interval
• Earnings-at-risk is the maximum decrease in the bank’s NII for a given time period and confidence interval
—
Edspira is the creation of Michael McLaughlin, an award-winning professor who went from teenage homelessness to a PhD. Edspira’s mission is to make a high-quality business education freely available to the world.
—
SUBSCRIBE FOR A FREE 53-PAGE GUIDE TO THE FINANCIAL STATEMENTS, PLUS:
• A 23-PAGE GUIDE TO MANAGERIAL ACCOUNTING
• A 44-PAGE GUIDE TO U.S. TAXATION
• A 75-PAGE GUIDE TO FINANCIAL STATEMENT ANALYSIS
• MANY MORE FREE PDF GUIDES AND SPREADSHEETS
—
SUPPORT EDSPIRA ON PATREON
—
GET CERTIFIED IN FINANCIAL STATEMENT ANALYSIS, IFRS 16, AND ASSET-LIABILITY MANAGEMENT
—
LISTEN TO THE SCHEME PODCAST
—
GET TAX TIPS ON TIKTOK
—
ACCESS INDEX OF VIDEOS
—
CONNECT WITH EDSPIRA
—
CONNECT WITH MICHAEL
—
ABOUT EDSPIRA AND ITS CREATOR
0:05:09
Value at Risk Explained in 5 Minutes
0:06:30
VaR (Value at Risk), explained
0:06:54
Value at Risk - VaR (deutsch) - Berechnung und Formel für dein BWL-Studium
0:05:55
Value at Risk (VaR) Explained in 5 minutes
0:03:06
Value-at-Risk Explained
0:14:53
Value at Risk (VaR) Explained!
0:12:53
Value at Risk (VAR) | Risk Management | CA Final SFM
0:06:25
What is Value at Risk? VaR and Risk Management
0:25:14
🟢 Types of Investments Explained: The Complete Guide to Investing
1:21:15
7. Value At Risk (VAR) Models
0:11:52
Expected Shortfall & Conditional Value at Risk (CVaR) Explained
0:48:01
Understanding Basic concept of Value at Risk (VaR) - Simplified
0:23:42
All About Value at Risk(VaR) | FRM Part 1 2023| Historical Simulation, Delta Normal, Monte Carlo VaR
0:09:36
How to Calculate Value at Risk (VaR) Using Excel || Value at Risk Explained
0:04:41
Value At Risk explained
0:05:01
Historical Method: Value at Risk (VaR) In Excel
0:07:23
Parametric Method: Value at Risk (VaR) In Excel
0:13:00
Value At Risk (VaR) Explained | How to apply to day-trading and swing trading
0:22:59
ACCA P4 Value at risk
0:11:55
Value at Risk or VaR, a tool to master market risk, explained in clear terms with Excel model.
0:17:03
Value at Risk (VaR), Explanation and VaR Calculation Methods with Examples
0:25:57
AFM Value at Risk (VaR) in 25 Mins | Risk Mgmt | Full Revision with Imp Qstns
0:01:31
Quantpedia Explains - Value at Risk
0:09:02
Calculating VAR and CVAR in Excel in Under 9 Minutes
Комментарии