Value at Risk (VaR) - Advantages & Disadvantages Explained | FRM Part 1 / FRM Part 2 | CFA Level 2

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In this video we will recap the definition of Value-at-Risk (VaR), how it is calculated for a simple loss distribution and simple profit distribution and list down its advantages and disadvantages. For more videos related to FRM Part 1 and FRM Part 2 preparations, please head over to the respective course pages listed below:
1) FRM Part 1: www.finRGB.com/courses/frm-pa...
2) FRM Part 2: www.finRGB.com/courses/frm-pa...

Опубликовано:

20 апр 2024

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Комментарии : 9

@tapio_m6861 2 месяца назад

Expected Shortfall fixes some of the disadvantages that VaR has. VaR says how much loss can be expected at a certain likelihood. E.S. tells you more about the shape of the bell curve and what happens beyond the VaR level.

@saurabhsahu7860 2 месяца назад

Great insight.

@tsreddy009 Месяц назад

Isn't the left tail is for the loss distribution and right tail for the profit distribution?

@haythemtilouch1191 2 месяца назад

Great video as always ! I just have a quick question, what's the difference between the usual VaR and Credit VaR ?

@finRGB 2 месяца назад

Thank you for the appreciation, Haythem. Will do a short video on Credit VaR.

@haythemtilouch1191 2 месяца назад

@@finRGB Thank you so much, can't wait to see it !

@mamta0508 9 дней назад

Could you pls help explain that does VaR provide a maximum or a minimum value we can lose for a given confidence level ? Or does it depends on the type of distribution i.e profit distribution or loss distribution? please help clarifying this as I'm little confused. thanks

@finRGB 8 дней назад

Hello @mamta0508. Focusing exclusively on the loss distribution, the use of "maximum" vs "minimum" is respectively linked to the whether you use "level of confidence" vs "level of significance" to express your VaR. If your 95% confidence VaR is 10 mn, you will be 95% confident that your actual loss (or negated profit) will not exceed 10 million (i.e. a maximum level). Alongside, you can say that 5% of the time, your loss will turn out to be more than 10 million (i.e. a minimum level).

@mamta0508 6 дней назад

@@finRGB thank you very much for clearing this doubt!