The fundamental assumption of the Historical Simulations methodology is that you base your results on the past performance of your portfolio and make the assumption that the past is a good indicator of the near-future.
The below algorithm illustrates the straightforwardness of this methodology. It is called Full Valuation because we will re-price the asset or the portfolio after every run. This differs from a Local Valuation method in which we only use the information about the initial price and the exposure at the origin to deduce VaR.read more
We earlier saw how VaR can be calculated using the parametric method. We will now look at this method in detail, and also understand how VaR can be easily calculated using matrices. VaR of a Single Asset VaR of a single asset is the value of the asset multiplied by...read more
Define the concept of Value-at-Risk (VaR) Value-at- Risk (VaR) is a general measure of risk developed to equate risk across products and to aggregate risk on a portfolio basis. VaR is defined as the predicted worst-case loss with a specific confidence level (for...read more
Certification: CFA Exam Level 1 Study Session 1 Ethics and Professional Standards Here is a brief note on what you must study for the “Ethical and Professional Standards” section of CFA Level 1 exam. You must study all the Standards in Professional Standards. However,...read more
This video explains the benefits of taking the FRM examination for the everyday risk professional....read more
Certification: CFA Exam Level 1 Study Session 1 Ethics and Professional Standards This short video provides an overview of Ethical and Professional Standards....read more