Estimating Market Risk Measures
Free GARP FRM Part II lesson in Market Risk Measurement and Management. 26 min read, ~3,830 words.
Parametric VaR assumes a distribution and reads its quantile: normal gives; lognormal gives, capping loss at 100%. Expected Shortfall averages the losses beyond VaR:, estimated as the average of the tail VaRs. Always; ES is coherent, VaR is not. Historical simulation sorts realized returns and reads the empirical quantile: no...
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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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