Estimating Market Risk Measures (FRM Part 2 2023 - Book 1 - Chapter 1)
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- เผยแพร่เมื่อ 14 ก.ค. 2024
- For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: analystprep.com/shop/unlimite...
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After completing this reading you should be able to:
- Estimate VaR using a historical simulation approach.
- Estimate VaR using a parametric approach for both normal and lognormal
return distributions.
- Estimate the expected shortfall given P/L or return data.
- Define coherent risk measures.
- Estimate risk measures by estimating quantiles.
- Evaluate estimators of risk measures by estimating their standard errors.
- Interpret QQ plots to identify the characteristics of a distribution.
0:00 Introduction
0:16 Learning Objectives
0:58 Estimating VaR using a Historical Simulation Approach
7:51 Estimating Parametric VaR
14:38 Estimating the Expected Shortfall Given P/L or Return Data
18:02 Coherent Risk Measures
20:47 Estimating Risk Measures by Estimating Quantiles
23:39 Evaluating Estimators of Risk Measures by Estimating their Standard Errors
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Thank you very much for your lectures, professor. Helped me tremendously in passing the FRM exams. 😊
Glad it helped! If you like our video lessons, it would be appreciated if you could take 2 minutes of your time to leave us a Google review using this link: g.page/r/CQIlM78xSg01EB0/review
@@analystprep Sure. Review completed.
Yay! Part 2. Thanks so much.
We've had lots of fun recording the FRM Part 2 videos. The content is really interesting, you'll see!
Prof. Forjan... you are a Star!
Thank you for those kind words!
Many thanks Professor Forjan for the FRM Part II: was really looking forward for this. God bless!
You're welcome and good luck with the exam!
Just passed part 1 and lucky to have part 2 videos for my 2020 May exam! Great lectures!
We will keep adding FRM part 2 video lessons moving into the 2020 May exam!
@@analystprep Sir..no new videos are coming up..of Book 2,3 and 4
Just passed level 1 thanks in part to your videos. On to level 2!
Your videos are great btw.
Congratulations! Good luck with level 2!
Your videos are very helpfull. Thank you very much!
Thank you for the kind words and good luck with your exam!
Hi professor, thank you so much for this. One question, if VaR takes into account the std of the portfolio (which is calculated using the correlation co-efficient between the two assets). How can we say that it fails at subadditivity? VaR is incorporating the diversification effects by including the correlation of the two assets. Thank you
Hey Singapore results just known today and my boyfriend passed the exam with flying colour thanks for your videos! It really helps! Appreciated your hardwork putting in these video and tide us through the difficult period!
Great job! It isn't an easy task to pass these exams. Also, it would be helpful to spread the word if you could take 2 minutes of your time to leave us a review at www.trustpilot.com/review/analystprep.com in case you like our video lessons.
Very helpful. Big thanks. Hopeful there will be practice question explanation video in the future.
Hi. We also don't want each video to be 50 minutes to 1 hour long, so we usually do 2-3 practice examples per video. We suggest you used a question bank to solve practice questions yourself right after watching each video. This will help you internalize all of the concepts. You can find an FRM question bank at analystprep.com/frm/ by registering an account.
Wow!!! I've been expected this for long! I wonder at what pace will part 2 videos be released?
Hi. At the moment, 7 videos have already been recorded. We'll be releasing around 7-10 videos per month leading up to the exam on our TH-cam channel. Everything for Part 2 should be ready in time for the 2020 May exam. If you want to go faster, you can always have a look at the study notes that are already out on analystprep.com
@@analystprepThanks a lot! I really appreciate your contribution!
Is there also videos available on your platform for the rest of the books in level 2 (Credit Risk, Liquidity Risk & so on... )??
Hi Felipe. The rest of the books will slowly be added onto TH-cam and then on the AnalystPrep platform. We needed to take care of FRM part 1 changes before continuing FRM part 2 video lessons. For now, we do have study notes (updated for 2020) and a question bank available at analystprep.com/frm/
Dear friends, the XYZ company have multiple child companies, I can see each child company is "product" in the product portfolio. How can I define return or risk of each company?. Thanks.
Hi, for monotonicity, could you please explian more about meaning of better value portfolio? do you mean better/higher return? if so, doesn't it mean higher risk (given higher return)? thanks for your help on advance!
@analystprep 19:35
9:15
Are you going to make other book videos as well?
Yes, we had to make changes to 2020 FRM part 1 videos. We're going to keep going in FRM part 2 Book 2 next week. Stay tuned!
11:40 There is no D in interim payments.
Oh, ok, D stands for dividends.
Hi ,when will you upload videos of other subjects?
Hi. We will start uploading book 2 video this week. Stay tuned!
@@analystprep please do asap,as we have our exams coming on 16 the of mAy
@@analystprep please do asap,as we have our exams coming on 16 the of mAy
@@analystprep and sir what about rest of subjects