lognormal-value-at-risk

  1. Nicole Seaman

    YouTube T5-01: Lognormal Value at Risk

    Welcome to the first video in this new playlist that is devoted to Topic 5 in the FRM. Topic 5, Market Risk, is the first topic in Part 2. We will start here by comparing normal to lognormal VaR and, specifically, we are going to generalize to absolute VaR. Absolute VaR generalizes the relative...
  2. Nicole Seaman

    P2.T5.707. Historical simulation and lognormal value at risk (VaR) (Dowd)

    Learning objectives: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Questions: 707.1. A mutual fund's daily returns for the last 300 trading days is plotted on this histogram. Additionally, the...
    • Nicole Seaman
    • Thread
    • historical-simulation lognormal-return-distributions lognormal-value-at-risk normal-return-distributions parametric-approach
    • Replies: 0
    • Forum: FRM® Practice Questions
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