Calculating and Applying VaR (FRM Part 1 2023 – Book 4 – Valuation and Risk Models – Chapter 2)

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

After completing this reading, you should be able to:
- Explain and give examples of linear and non-linear derivatives.
- Describe and calculate VaR for linear derivatives.
- Describe and explain the historical simulation approach for computing VaR and ES.
- Describe the delta-normal approach for calculating VaR for non-linear derivatives.
- Describe the limitations of the delta-normal method.
- Explain the full revaluation method for computing VaR.
- Compare delta-normal and full revaluation approaches for computing VaR.
- Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing VaR, and identify strengths and weaknesses of each approach.
- Describe the implications of correlation breakdown for scenario analysis.
- Describe Worst-Case Scenario (WCS) analysis and compare WCS to VaR.
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Комментарии
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Thank you so much your video always so helpful

sandytran
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Hello friends,
I have a few questions:
1 / Risks will be specified after we have identified the audience, objectives, and operational processes ?.
2 / Risk will be directly integrated into the business process ?.
3 / The Risk department is responsible for determining the VaR (Value at Risk) and presenting it to the Board of Directors seeing the risks and proactively preventing them?
4 / Actively preventing risks will help us improve the value of products / services to customers?

ntcuongct
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some chapters are missing in the playlist like chapter 5, 7, 8 etc... can u please add those

shaanagarwal