Calculating and Applying VaR (FRM Part 1 2025 – Book 4 – Valuation and Risk Models – Chapter 2) скачать в хорошем качестве

Calculating and Applying VaR (FRM Part 1 2025 – Book 4 – Valuation and Risk Models – Chapter 2)

Ace FRM Part 1 – Book 4 (Valuation & Risk Models), Chapter 2: Calculating and Applying VaR. In this lesson you’ll learn: • Linear vs. non-linear derivatives and why Delta changes • VaR for linear derivatives (forwards/futures) • Delta-normal VaR: assumptions, limits, underestimation of tails • Full revaluation VaR for large moves • Structured Monte Carlo simulation • Stress testing, historical simulation, scenario analysis • Worst-case scenario (WCS) thinking For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams After completing this reading, you should be able to: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe and explain the historical simulation approach for computing VaR and ES. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing VaR, and identify strengths and weaknesses of each approach. Describe the implications of correlation breakdown for scenario analysis. Describe Worst-Case Scenario (WCS) analysis and compare WCS to VaR. #FRMPart1 #ValueAtRisk #RiskManagement #GARP #QuantFinance #MarketRisk #AnalystPrep