Study Notes: Calculating and Applying VaR

Chapter 2. Calculating and Applying VaR Study Notes include 24 pages covering the following learning objectives:
* 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 and stress testing methods for computing VaR, and identify strengths and weaknesses of each approach.
* Describe the implications of correlation breakdown for scenario analysis.

After reviewing the notes, you will be able to apply what you learned with practice questions.

Download Sample

Shop Courses