delta-normal

  1. Nicole Seaman

    P1.T4.24.4. VaR, ES, and Linear Derivatives

    Learning Objectives: Describe and calculate VaR for linear derivatives. Describe the limitations of the delta-normal method. Explain the Monte Carlo simulation method for computing VaR and ES and identify its strengths and weaknesses. Describe the implications of correlation breakdown for a VaR...
  2. Nicole Seaman

    P1.T4.24.3 Linear and non-linear portfolios and the delta-normal approach

    Learning Objectives: Explain and give examples of linear and non-linear portfolios. Describe and explain the historical simulation approach for computing VaR and ES. Describe the delta-normal approach and use it to calculate VaR for non-linear derivatives. 24.3.1 Lenny runs a...
  3. Nicole Seaman

    YouTube T4-03: Delta-normal value at risk

    If you are a new student to risk measurement, and especially if you are a Part 1 FRM candidate, our video is especially important because it describes a foundational idea that is applicable across asset classes. This video illustrates exactly what we mean by the delta-normal approach to value at...
  4. B

    Delta normal VAR

    Hi David, Nicole, I have question about the delta normal VAR in P1.T4. When I have a yearly expected return [E(r) year - z*(sigma year/ sqrt 250) *$] given in a question how should I translate this for e.g. to a daily expected return. I know it is somewhere in the BT material but I can't find...
  5. Nicole Seaman

    P1.T4.806. Putting value at risk (VaR) to work (Allen Ch.3)

    Learning objectives: 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...
    • Nicole Seaman
    • Thread
    • correlation-breakdown delta-normal full-revaluation monte-carlo scenario-analysis stress-testing worst-case-scenario-analysis
    • Replies: 0
    • Forum: FRM® Practice Questions
  6. Nicole Seaman

    P1.T4.805. Linear and non-linear derivative value at risk (VaR) (Allen)

    Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's $1.0 million bond portfolio contains...
  7. F

    Delta-normal method to calculate VaR for Linear Derivatives

    I would appreciate if someone could explain in layman terms what is the Delta-normal method. Also could someone explain how the following 2 positions are equivalent: 1. A 1 year forward contract to purchase pounds for dollar 2. A combination of 3 positions: a) A short position in a US...
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