Magnificent tutorial: you didn't get bogged down in the details of why cVaR is calculated in a certain, instead, choosing to explain the mechanics of how to compute it in a certain way. Well done dude.
sorry to be off topic but does anybody know of a way to get back into an Instagram account..? I stupidly lost my login password. I would love any tricks you can give me
Nice video. Very fast compared to doing it by hand, so long as you understand the details in-between then all is good here. Nice refresher for single return without accounting for monetary weight.
Hello! Great Video! How did you paste all the return formula down the column(2:25 in the video)? You clicked something(2:50), to drag the formula down the enitre column. How did you do that?
Isn't this the correct formula for the returns Rt = (Pt - Pt-1)/Pt-1 instead of Rt = (Pt - Pt+1)/Pt+1 ? And the first return should be the undefined value, not the last one? Still the video is helpful, thanks :)
Could you further elaborate how did you arrive at return values? here you have taken the YOY increase of the return, was it mere a reference as that is quite different to that of the return we actually calculate on stocks? Please help.
Thank you for showing this. Could you extend the concept to the portfolio where there are multi-assets with correlation? The example you are given is based on the historical data (back forward-looking), can you share some method to be used for simulating the data in the future to do a forward-looking VAR calculation? Also, what are the kinds of VAR that big banks and asset management companies are using? Thanks!
Hi. How it would be possible to calculate the VAR for a company which holds money in a bank account? It would make sense to assess the bank financial soundness, calculating the CAP ratio e than calculating the VAR for that company? what formula might be applied for this kind of calculation? thanks!
Hi, so i have weekly (7 days) of carry trade returns. I need to calculate the VaR for 5 days and one month with 99% and 95%. Any suggestions on how i can do that?
Hi, may I know what is the source of this and VaR and CVaR calculation? I meant like the books or journal. I want to use this as bibliography in my thesis. Thank you for your help and guidance. The formula is very helpful to me for calculate the VaR and CVaR of daily stock returns.
Hello! Is it possible to calculate the CVar with a span of a year or two and how can i change that in excel? I am working on a comparison between the results of the stresstest and the CVar for the european room on how they effect the systemic risk! Do you have some suggestions for me to make an adequat compariosn between those two units of measuring risks?
Thank you for the video!! :) It's very helpful I was wondering whether it is possible to apply VaR/CVaR to measure credit risk, because what you actually are measuring is market risk, right?
+Melié There are different models used in credit risk and market risk. In market risk, we mostly use VaR/CVaR and stress testing. In credit risk, we use models such as KMV, Altman's Z-score, O-score, Pr of default etc.. The key point is that in market risk, we try to model prices and returns. In credit risk, we model fluctuations in the value of assets, liabilities, cash flows etc.
thanks for the video, but you're calculating the VAR only based on history data. espacially in banking, there are much more ways how they're doing it. like a monte carlo simulation of the returns and based on that (expected value) they're calculating the VAR. I think the historical way has caused partially the banking crisis. some szenarios are not included in historical data, so running stress tests or other simulations are helpful!
Use this method on a generated timeseries in R: quantbros.com/portfolio-single-stock-var-and-cvar-in-r/ We have other tutorials that involve monte-carlo simulations which could help: quantbros.com/parallelized-simple-random-constrained-portfolio-generation/ I'm also currently working on a tutorials aimed at exactly what you're looking for, but it will most likely become a part of my course: www.QuantCourse.com
i cant understand how to use VaR or ES, so its very hard for me to make an example. how to start. can you help me? saying step by step what to do. its very important for me.
Great question! If you are using daily returns, you can "scale" you VaR numbers by multiplying by the square root of time (VaR(95)*sqrt(n)). However, if you scale this for too long of a period, this has been shown to be quite an inaccurate assumption. Otherwise, you could use n-day returns and run VaR numbers on those returns. Or Monte-Carlo simulations!
use have to use square root rule of time and assume returns are IID. HS method cannot adjust to that as it makes no assumption about the shape of the distribution of the return curve.
Just remember that VaR is an expected loss number. It depends on the context that you're using it in, but if you're adding this to your portfolio value, use a negative number.
Yes CVAR, ESF Expected short fall, Extreme value loss(derived from EVT - Extreme value theory) and other variants of computing ruin risk (UL -EL) are the same.
The adjusted closing price amends a stock's closing price to reflect that stock's value after accounting for any corporate actions. The closing price is the raw price, which is just the cash value of the last transacted price before the market closes.
I would say to account for the dispersion in a normal distribution, and to make it easier when using excel to calculate the probability of said negative outcome with the chosen confidence interval.
So this is the historical method. What about variance and monte carlo methods? I guess they're all flawed so it doesn't really matter which. It's funny how financiers try to make this seem so complicated.
VAR [95] 8.7 VAR [99] 1.74 VAR [99.99] 0.174 these are my number- I have taken 175 observations what will be the VAR @ 99.99% in this case - can anyone help?
This is wrong at so many levels man. You're not taking into account either the standard deviation, the general return for the portfolio, the weighted composition or anything. You're just saying an 'x' percentile will be your loss because... reasons.
This video is useless, you used a constant probability distribution assumption, which is not the REAL distribution for financial time series that is log-normal. In other words, that is not how you calculate the true VAR neither CVAR of a stock