Measures of Financial Risk (FRM Part 1 2023 - Book 4 - Chapter 1)

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After completing this reading, you should be able to:
- Describe the mean-variance framework and the efficient frontier.
- Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.
- Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR.
- Define the properties of a coherent risk measure and explain the meaning of each property.
- Explain why VaR is not a coherent risk measure.
- Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES.
- Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures.
- Describe how the results of scenario analysis can be interpreted as coherent risk measures.

[@lakshyasaxena3816]

Hello Prof. James! Had followed your free web content to prepare for L1 (along with Schweser and official guide) and I would like to attribute my success in L1 exam (took in Nov 2021) to you!
Thank you for enriching my journey! Keep motivating us!
Regards from India!

[@harshchhabra14]

My gratitude to you for the videos you have posted on this platform. It helped me in building a strong foundation for clearing Part 1 examination. Thank you very much Professor!
Regards from India!

[@sz7232]

Thank you so much !!!

[@aboyinfinland9230]

Sir, you are just superb. Well done. What phenomenal pedagogy you have ! May I kindly ask you if you happen to have a course (which I can pay for) where you employ risk metrics, scenario tests etc... in excel ?

[@ElsonJesusGrace]

Prof.James - inspired by your lectures...Keep up the great work

[@analystprep]

Glad you like them and good luck on the exam!

[@07DACC]

The VAR describes the best scenario of those worst possible series of losses.

[@AS-wd5hb]

Hello sir, I was asked in an interview for which period Var is applicable?
Banks calculate VAR on a daily basis using past 1 year data. does this mean VAR number calculated for that particular day is applicable only on that day?

[@bondbamola4445]

Hi. Thanks for the lectures. However, in your playlist some lectures are missing. (FRM Part 1 Book 4 Chapter, 3, 4, 5 and 10)

[@analystprep]

Hi Bond. You can find all video lessons by registering an account at analystprep.com/frm/

[@josephkalusokoma1378]

Thanks

[@analystprep]

Welcome!

[@waddahhanana9065]

Is this video covering new frm 2020 part 1 ??

[@analystprep]

Hi. No, this is simply an older video in which there was a slight calculation mistake. It has been fixed. The new 2020 video, although with most of the same learning objectives, should be coming soon!

[@passionatEntrepreneur]

When the new video will come for this topics, I am waiting from few months Sir

[@analystprep]

All videos from all FRM books can be found at app.analystprep.com/ by registering an account and then upgrading to a premium package. I hope this helps!