All About Value at Risk(VaR) | FRM Part 1 2023| Historical Simulation, Delta Normal, Monte Carlo VaR

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Hello candidates,
Welcome in All About Value at Risk(VaR) | FRM Part 1 2023| Historical Simulation, Delta Normal, Monte Carlo VaR.
In this video we are talking about all about value at risk which is important in FRM Part 1, 2023 curriculum. FRM is a difficult exam and here in this video, we will taking one concept of FRM Part 1 Exam, which is Value at Risk (VaR).
We have talked about the limitations and interpretations of value at risk. We are also talking about the historical simulation method. Delta normal method, and Monte Carlo approach to calculate the value at risk.
Please make sure to watch our other videos as well, and subscribe to our RU-vid channel if you haven't subscribed yet.
Join our telegram channel as well.

Опубликовано:

22 июл 2024

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Комментарии : 92

@aryanmanjunatha9265 5 дней назад

amazing

@vardeez 5 дней назад

Thanks for Appreciation

@monishjain5288 Год назад

You explain things in such a Fantastic Way. Honestly best tutor for FRM out there.

@vardeez Год назад

Thanks for Appreciation Monish !!

@rachita1798 2 года назад

I beleive this is by Far the Best Video on Value at Risk. Thankfully we discovered your Channel Thank you sir

@vardeez 2 года назад

Thanks for Appreciation Rachita !

@sommydee4024 Месяц назад

Thank you so much Sir

@vardeez Месяц назад

Most Welcome Appreciate it.

@theseismicwavesmongolia7720 2 года назад

Just discovered ur page, I bet this is helping so many ppl like me! Thank you!

@vardeez 2 года назад

Thanks for Appreciation !! More videos will be uploaded very soon which will help in your preparation

@divyaalok5538 7 месяцев назад

Awesome

@divyaalok5538 7 месяцев назад

जय श्री कृष्ण

@krisk-rd8uk Год назад

Why did I not Discovered Your Channel. You are absolutely Amazing. I just love your teaching style.

@vardeez Год назад

Thanks for Appreciation Kris Please share this video, so that others can find us easily. Thanks again

@poojapandey2201 2 года назад

Nicely Explained.

@vardeez 2 года назад

Thanks for Appreciation!

@niampahamidou8931 Год назад

Thanks for this usefull video

@vardeez Год назад

Hello, Thank you so much for Appreciation Niampa !!

@keerthipriyadarshini768 9 месяцев назад

The video is really helpful thank you Sir

@vardeez 9 месяцев назад

Thanks for Appreciation Keerthi

@silviacamacho8373 Месяц назад

This is the best video I've found on the subject! I only have one question. From part 6:25 to 7:14, why isn't the buffer of the bank 5000$ instead of 100M?

@vardeez Месяц назад

Hi Silvia Thanks for the feedback. Will here the Buffer is 5000, and Not 100M is because the Bank cannot keep 100 percent of their money as a buffer, they need to Earn Profits on their money. Hence they Loan Out money and keep aside the minimum amount as Buffer.

@silviacamacho8373 Месяц назад

@@vardeez Thank you for the explanation sir. It makes sense now.

@rajmishra5630 11 месяцев назад

best ever video on VaR

@vardeez 11 месяцев назад

Thank you for Appreciation Raj !!

@MaikS820 Год назад

Excellent Video

@vardeez Год назад

Thanks for Appreciation 🙏

@KattradhuCA Месяц назад

What is the square root rule? @20:50 Can you please explain why we multiply by root of 5 instead of just 5? (This is the best video I found about VaR! Just this one point is unclear)

@vardeez Месяц назад

Well because Volatility is influenced by Random Walk behaviour of Prices. Hence to capture that, Var/SD or Volatility will always be Scaled by Square root of Time.

@rahulsony569 2 года назад

I have two question. Firstly, to calculate VaR of a stock, which set of return data I must consider…daily, weekly or monthly ? Secondly, what should be the date range of the historical return data? Last 1, 3,5 or 10 years ?

@cb1609 Год назад

Brilliant Explanation. Thanks

@vardeez Год назад

Thanks for Appreciation there !!!

@christianscondo7529 Год назад

Very well done, thank you.

@vardeez Год назад

Thank you So Much For Appreciating our Efforts !!

@oketundeoluyemi1386 Год назад

You are the best have ever seen here, Thank you sir

@vardeez Год назад

Thanks for Appreciation Oketunde!!!

@divashinideiva2143 Год назад

Good

@vardeez Год назад

Thanks for Appreciation!!

@BubatheGuy Год назад

Thank you very much Sir!!! As a new Market and Liquidity risk officer, this has been an eye opener for me! Thank you 🙏🏿

@vardeez Год назад

Glad that this video brought Value to You. And Thanks for Appreciating our Efforts!

@nikunjagrawal8388 2 года назад

You Method of Teaching is Amazing. I really like it .

@vardeez 2 года назад

Thanks for Appreciation Nikunj !!

@umeshputhran1338 Год назад

WOW... Excellent Teaching Style . I was struggling to understand Var, but you made it so easy. Have Subsribed to your RU-vid Channel also.

@vardeez Год назад

Thanks for Appreciation Umesh!!

@deejayvalisetty7907 2 года назад

Excellent explanation . Thought understanding the VaR one need to be a pro in Statistics subject but you proved it wrong. Thanks !

@vardeez 2 года назад

Thank You So Much For Appreciation Deejay !!

@ghanurathi6462 Год назад

Your videos are soo good, I just took a day off to watch all your content.. Please post more videos!! eagerly waiting

@vardeez Год назад

Thanks again for Appreciation Ghanu Yes we will post more videos very soon

@mayanksharma5175 2 года назад

Great video

@vardeez 2 года назад

Thanks for Appreciation Mayank!!!

@temwalungu6718 2 года назад

Your explanation is so clear👏

@vardeez 2 года назад

Thanks for Appreciation Temwa !!

@ganesh5811 2 года назад

best video for var !!

@vardeez 2 года назад

Thank you Ganesh !!

@manarlabidi6448 Год назад

you are so helpful, please keep making such videos, I need them to graduate lol

@vardeez Год назад

Thanks for Appreciation Manar !!

@CaslerLee 10 месяцев назад

Hii, for the Historical Stimulation method part, example at the middle part, may I know why the VaR was changed from 5th one (10.23 sec) to 6th (10.24 sec), so the final answer of VaR should locate at 5th place or 6th?? Hope for clarification thxx

@kartikkhanna1503 10 месяцев назад

i have a question, in FRM Part 2 market risk measure to calculated using the following formula (5% * 1000 ) + 1

@sayednab 7 месяцев назад

can VaR be used on a business subunit?

@brijeshmishra3980 2 года назад

Waiting for next video

@vardeez 2 года назад

We are on it!

@kongher3486 2 года назад

How can i find ep. CVaR

@saiprasadte8811 2 года назад

Beautifully explained. Thanks!

@vardeez 2 года назад

Thanks for Appreciation SaiPrasad!

@bycullaankita597 Год назад

Can you please put a video on FRTB explanation covering everything as it is very difficult to crack interview questions related to FRTB

@vardeez Год назад

Hello, Will definitely try for that in the Future.

@karlag2585 Год назад

this is great! one question, for the historical var example you provided - the daily return data was used, but we need the monthly var. The 15.69% is daily var right? we still need to get the monthly.

@vardeez Год назад

Hi Karla, We can scale the Var with the square root of time, so daily var can be mutliplied with the sqaure root of a month.

@NeerajSingh-xh6qj 2 месяца назад

11:55 11:56 how did you know 50th. Value comes here?

@hemantbisht5240 Год назад

Make a Playlist For these ( Risk ) topics

@vardeez Год назад

Well the Playlist is already there for Book Wise in the Playlist Section.

@akshayshetty143 Год назад

where is your other video on VAR? please share the link or put it in the description

@vardeez Год назад

Hi Akshay, Other videos has been covered on VaR like Expected Shortfall, Coherent Risk Measures and also the Most Difficult Spectral Risk Measures has been covered in a beautiful way. Will definitely post those links on the Description Box. Thanks

@shashankjain6498 7 месяцев назад

Should not it be the minimum amount that you would lose at a certain confidence interval than maximum

@munichrent2067 2 года назад

Hello is VAR applicable to use for someone working in a leasing bank?

@vardeez 2 года назад

Hello, Value at Risk may become a Key Driver for Lease decisions for banks who are in the business of leasing. Again it depends on bank's as how they value the risk of lease deals.

@lmargentina 10 месяцев назад

Hi, how did we arrive at the z scores of 5%,10% and 1%

@vardeez 10 месяцев назад

Hi, Those are the Z Scores that we get from the Z Tables. I have a video on my RU-vid Channel regarding Z Tables, you can check that out.

@ThatCurlyGirl Год назад

GOOOOOD JOB. However how about credit risk- PD, LGD, EAD. and operational risk ?

@vardeez Год назад

Thanks for Appreciation!! Well for the topics that you have mentioned, it's more of a syllabus in FRM Part 2. But will try to cover it in videos if possible on RU-vid

@ThatCurlyGirl Год назад

@@vardeez yes. I am looking forward to studying those topics. Would be grateful if you upload those videos in the near future. :)

@vardeez Год назад

Okay Sure!

@somyaagarwal2942 8 дней назад

So historial method assumes returns are normally distributed??

@vardeez 7 дней назад

Well Historical Method does NOT assume any Specific Distribution

@Ash-lq9cr 2 года назад

Your videos are too good but have very less time as exam in may 2022 :/ else would have reffered these videos only

@vardeez 2 года назад

Hi Ash, Thanks for Appreciation!! We will upload more videos very soon which will help in your FRM Exam Prep.

@maheshthengane2114 2 года назад

When are you going to start FRM level 1 classes

@vardeez 2 года назад

Hi Mahesh, We will put some Revision Videos for FRM Level 1, May 2022 attempt. So we are working on that currently. Will start once we are done posting Revision or Crash course videos

@somyaagarwal2942 8 дней назад

confidence goes up then var should go down right?

@vardeez 7 дней назад

No it will be higher as we are moving Further in the Loss Tails