var

In the VaR section there are 3 examples given and I am struggling with understanding the second example. The text states As a second simple example, assume the result of an investment with a uniform distribution where all outcomes between a profit of 30 and a loss of 20 are equally likely. In...

Dear Community, I'd appreciate any guidance regarding the most efficient way to compute the VaR (say 1-day VaR at 95% confidence level) for a spread trade in two Bond Futures, with weights adjusted by duration, currency, and volatility. As an example, consider you're given this positio: LONG...

Hello @David Harper CFA FRM , sorry to bother you again, but I did not know where to put this question about Meissner's Example 1.2 of VaR for a two-asset portfolio. (Should I create a new thread for questions like this in the future?) On the table, the 'Deviate' is written as 2.326. However...

Dear @David Harper CFA FRM I came across the following question in the Schweser notes to Market Risk book: It is stated that correct answer is D but I think it is A, could you please help me? Thanks !

Dear all, I read the summary of Bionic. For chapter 1, you stated that VaR favors short horizons but I could not find this information in GARP’s material. Could you explain this for me ?

Hi, I have a 2 asset portfolio evenly weighted of stock A and stock B. If I purchase a long put, written on just stock A, with a delta of -0.536, how would I calculate the appropriate option sizing and how much it would minimize my portfolio VaR? Do I use the component VaR? Does the hedge...

@David Harper CFA FRM Hey David. I am having difficultly in understanding the formula for calculating the Covariance of Assets with the Portfolio i.e. Cov(i,p). As per your example in the study notes, you have shown the formula for COV(euro, portfolio) which is confusing. What if the...

Dear reader, I am currently working on CAR and I am wondering how I can input my market risk VAR into the calculation. Essentially, my question is regarding the time horizon of CAR versus Delta normal VaR. Assuming a 1 day VaR output from the delta normal model, How does it fit into the CAR? My...

Hey for school i have to calculate the VaR but I am unable to find the right calculation, can anyone help me solve it? "Suppose an investor wants to take 500 shares of Tesla in a pre-portfolio. The price is $ 800.00 per share The term of this position is 1 day. The daily volatility is: 2%...

Hi, I have the following understanding - Does this make sense or am I missing something here? We may choose to accept a 99% VAR model with 95% or 99% (or any other) level of confidence. Hence, using Jorian's example from book, assuming we use a 99% VAR (i.e. p=.01), over 250 days (i.e. T=250)...

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...

I've noticed that when calculating VaR/variance/std. dev of 2+ assets (or portfolio), sometimes the correlation/covariance is included, and sometimes it's not. I.e. for standard deviation of 2 assets: sqrt[w(1)^2*variance(1) + w(2)^2*variance(2)+2*w(1)*w(2)+covariance(1,2)] where (1) = asset 1...

Basic historical simulation sorts the actual loss history and, for example, the 95th HS VaR is the 6th worst out of 100 observations. Here is David's XLS: http://trtl.bz/frm-t1-5-hs-var

Value is risk is just a statistical feature of probability distribution (the hard part is specifying the probability distribution): VaR is the quantile associated with a selected probability; i.e., what's the worst that can happen with some level of confidence? See David's XLS here...

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

As per logic if there is economic boom var has to be low and high if there is bust.which implies it is countercyclical. However if time varying volatility is incorporated Var tends to be procyclical Can some one explain why?

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

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

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

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