Risk Measures, VaR, and Volatility
Free GARP FRM Part I lesson in Valuation and Risk Models. 22 min read, ~3,311 words.
VaR answers "what's the worst loss at confidence c over horizon h?" Parametric VaR assumes normal returns on a P&L basis:; daily rules drop the mean. Three VaR methods: parametric (assumes a distribution), historical simulation (reads the empirical quantile), Monte Carlo (simulates a calibrated process). Expected Shortfall (ES) is the...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
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