Estimating Market Risk Measures
Free GARP FRM Part II lesson in Market Risk Measurement and Management. 20 min read, ~3,062 words.
Parametric VaR assumes a distribution and reads its quantile: normal gives; lognormal gives a price-based loss, never below 100%. Historical simulation sorts realized returns and reads the empirical quantile, no distribution assumption, but assumes the past window represents the future. Weighted historical schemes (age, volatility, correlation, filtered) fix the equally-weighted...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
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