parametric-approach

  1. David Harper CFA FRM

    P2.T5.22.1 Basic historical simulation value at risk (HS VaR), lognormal VaR, and expected shortfall (ES)

    Learning objectives: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Estimate the expected shortfall given profit and loss (P/L) or return data. Questions: 22.1.1. Peter has collected the daily...
    • David Harper CFA FRM
    • Thread
    • basic-historical-simulation expected-shortfall lognormal-return-distributions normal-return-distributions parametric-approach profit/loss return-data
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    YouTube T4-01: Three approaches to value at risk (VaR) and volatility

    The three approaches are 1. Parametric; aka, analytical; 2. Historical simulation; and 3. Monte Carlo simulation (MCS). The parametric approach assumes a clean function, the other two work with messy data. Historical simulation is betrayed by a histogram, MCS is betrayed by a random number...
  3. Nicole Seaman

    P1.T4.804. Value at risk (VaR) estimation approaches (Allen)

    Learning objectives: Evaluate the various approaches for estimating VaR. Compare and contrast different parametric and non-parametric approaches for estimating conditional volatility ... Explain long horizon volatility/VaR and the process of mean reversion according to an AR(1) model. Calculate...
  4. 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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