var

Learning objectives: Explain expected loss, unexpected loss, VaR, and concentration risk, and describe the differences among them. Evaluate the marginal contribution to portfolio unexpected loss. Define risk-adjusted pricing and determine risk-adjusted return on risk-adjusted capital (RARORAC)...

In 2006, UBS reported no exceedences on its daily 99% VaR. In 2007, UBS reported 29 exceedances. To test whether the VaR was biased, you consider using a binomial test. Assuming no serial correlation, 250 trading days, and an accurate VaR measure, you calculate the probability of observing n...

Dear all, studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies. 1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e...

Hello, This is a concept question with historical var. If the time period you are analyzing has no losses can you use historical var? If so would it be zero or just the lowest positive return? Any help is appreciated! Thank you!

Assuming Lambda = 0.96 Window Period= 10 to 200 days From what I have seen there are 2 formulas for the hybrid approach. Formula 1 (1-lambda)*(lambda)^(n-1) & Formula 2 (1-lambda)*(lambda)^(n-1)/(1-(lambda)^window period) This is a excel working using both the formulas. The window period is...

I haven't bought the Bionic Turtle Study Set yet. I am moving through all the concepts from the GARP Material and additionally the BT Youtube Videos by David Harper and they were really excellent as they helped me in understanding parts which I haven't been able to get through from the...

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...

AIMs: Explain and calculate the stressed value-at-risk measure and the frequency which it must be calculated. Explain and calculate the market risk capital requirement. Describe the qualitative disclosures for the incremental risk capital charge. Describe the quantitative disclosures for trading...

Dear David, i would appreciate your help in one of my assignments. I have been following your videos on youtube, they are extremely helpful! However, i have a question from one of them: How do you get the number in J12 / I13 window? Is it supposed to be the same as in E12? I would be themost...

David, I am now thoroughly confused by the Square Root Rule and scaling the VaR under the circumstance of Mean Reversion and Auto correlation. In search of an explanation, I found this thread http://forum.bionicturtle.com/newreply/1729/ , but your link is not attached anymore. The rules for...

HI David In the forum, calculating VAR for two asset, I find your calculations: VAR=critical-z * sqrt(Positions matrix row vector * Var-covar matrix * Positions matrix column vector) I would like to ask whether I can use this formula to calculate VAR for a portfolio of FX volatility of 3...

Hi David, How should I understand the daily VAR here? is it just calculated daily? I think 10-day trading horizon means I need to scale the "daily" VAR (using one day volatitlty) with 10 days to get the VAR which is called the daily VAR here? so it is actually 2-week VAR right? Thanks.