Understanding Basic concept of Value at Risk (VaR) - Simplified

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Опубликовано:

15 окт 2024

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Комментарии : 21

@investogramma 3 года назад

When I see the black screen I anticipate MM content, and suddenly... FinTree :)

@akhileshkumarmishra301 3 года назад

Nicely explained @Fintree

@sunilrana-ss6gq 4 года назад

Always d best

@ashwiiniinandesshwar3062 4 года назад

An investment has a uniform distribution where all outcomes between -40 and +60 are equally likely. What are the VaR and expected shortfall with a confidence level of 95%? ========= I got Mu 10 and Sigma 5.77 but still answer is not matching with GARP Book. In GARP Book VAR is 35 and ES is 37.5.

@investwithvincent6329 2 года назад

24:57 how come we took the average of the z scores of the second and third values "1.65 & 2.33", but we kept the first one as is "1.28" instead of "1.29"?

@narseyboy 2 года назад

The figure is actually 1.282

@anantk2318 3 года назад

Well explained sir!!

@rohitathakur3144 3 года назад

Can someone help me understand why have we started with calculation of 5% VaR? Is this a normal assumption or is like a basis for the risk manager to pick the same?

@aniketgaur2126 2 года назад

Usually the confidence interval used are 90%,95% and 99%. There is no assumption in the real world of using 95% as it depends on the conservatism of the risk manager. Usually in the real world it is 1%.

@sushil6509 18 дней назад

There can be a one percent var 2% var etc It's just general practice to teach 5% var for academics

@investwithvincent6329 2 года назад

40:00 I'm unsure how we derived 1.65 in this case

@nitesh_YT_7 3 года назад

What will be VAR of a profit making portfolio?

@sushil6509 18 дней назад

Any portfolio can have negative returns it's just how deep in tail it is

@investwithvincent6329 2 года назад

19:00 I wish we were presented with visual proof that showed us that actual returns have fatter tales compared to normal distributions

@investwithvincent6329 2 года назад

17:00 where's a video showing us how to forecast those 100 months?

@makk3480 3 года назад

Can someone plz explain how did we get z value of 5% as -1.65 and z value of mean as 0?

@makk3480 3 года назад

Just read about Z value. Hence sharing what I learnt.. If a z-score is equal to 0, it is on the mean. Whereas a negative z score denotes value away from mean . Upon reading further I got to know that -1.65 which translates to 5% below z score ie the value deviates by 5% Well Sir thanks for the great explanation!