value at risk

FRM P1 > T1 > Intro to VaR (xls): Value at Risk Hello! We are uploading revised learning spreadsheets that I've been working to improve. I wanted to share some information about them. I am going to start at the beginning in this informal series. In terms of a natural sequence, the first...

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...

Concept: These on-line quiz questions are not specifically linked to AIMs, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical AIM-by-AIM question such that the intended difficulty level is nearer to an actual...

Concept: These on-line quiz questions are not specifically linked to AIMs, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical AIM-by-AIM question such that the intended difficulty level is nearer to an actual...

17. The bank’s trading book consists of the following two assets:\ Correlation (A, B) = 0.2 How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B? Assume there are 250 trading days in a year. a. 0.2286 b. 0.4581 c. 0.7705 d...