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7. Value At Risk (VAR) Models
 
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MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Kenneth Abbott This is an applications lecture on Value At Risk (VAR) models, and how financial institutions manage market risk. License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu
Views: 189177 MIT OpenCourseWare
What is VALUE AT RISK? What does VALUE AT RISK mean? VALUE AT RISK meaning, definition & explanation
 
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✪✪✪✪✪ WORK FROM HOME! Looking for WORKERS for simple Internet data entry JOBS. $15-20 per hour. SIGN UP here - http://jobs.theaudiopedia.com ✪✪✪✪✪ ✪✪✪✪✪ The Audiopedia Android application, INSTALL NOW - https://play.google.com/store/apps/details?id=com.wTheAudiopedia_8069473 ✪✪✪✪✪ What is VALUE AT RISK? What does VALUE AT RISK mean? VALUE AT RISK meaning - VALUE AT RISK definition - VALUE AT RISK explanation. Source: Wikipedia.org article, adapted under https://creativecommons.org/licenses/by-sa/3.0/ license. Value at Risk (VaR) is a measure of the risk of investments. It estimates how much a set of investments might lose, given normal market conditions, in a set time period such as a day. VaR is typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover possible losses. In financial mathematics and financial risk management, VaR is defined as: for a given portfolio, time horizon, and probability p, the p VaR is defined as a threshold loss value, such that the probability that the loss on the portfolio over the given time horizon exceeds this value is p. This assumes mark-to-market pricing, and no trading in the portfolio. For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, that means that there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one-day period if there is no trading. Informally, a loss of $1 million or more on this portfolio is expected on 1 day out of 20 days (because of 5% probability). A loss which exceeds the VaR threshold is termed a "VaR break." VaR has four main uses in finance: risk management, financial control, financial reporting and computing regulatory capital. VaR is sometimes used in non-financial applications as well. Important related ideas are economic capital, backtesting, stress testing, expected shortfall, and tail conditional expectation. Common parameters for VaR are 1% and 5% probabilities and one day and two week horizons, although other combinations are in use. The reason for assuming normal markets and no trading, and to restricting loss to things measured in daily accounts, is to make the loss observable. In some extreme financial events it can be impossible to determine losses, either because market prices are unavailable or because the loss-bearing institution breaks up. Some longer-term consequences of disasters, such as lawsuits, loss of market confidence and employee morale and impairment of brand names can take a long time to play out, and may be hard to allocate among specific prior decisions. VaR marks the boundary between normal days and extreme events. Institutions can lose far more than the VaR amount; all that can be said is that they will not do so very often. The probability level is about equally often specified as one minus the probability of a VaR break, so that the VaR in the example above would be called a one-day 95% VaR instead of one-day 5% VaR. This generally does not lead to confusion because the probability of VaR breaks is almost always small, certainly less than 50%. Although it virtually always represents a loss, VaR is conventionally reported as a positive number. A negative VaR would imply the portfolio has a high probability of making a profit, for example a one-day 5% VaR of negative $1 million implies the portfolio has a 95% chance of making more than $1 million over the next day. Another inconsistency is that VaR is sometimes taken to refer to profit-and-loss at the end of the period, and sometimes as the maximum loss at any point during the period. The original definition was the latter, but in the early 1990s when VaR was aggregated across trading desks and time zones, end-of-day valuation was the only reliable number so the former became the de facto definition. As people began using multiday VaRs in the second half of the 1990s, they almost always estimated the distribution at the end of the period only. It is also easier theoretically to deal with a point-in-time estimate versus a maximum over an interval. Therefore, the end-of-period definition is the most common both in theory and practice today.
Views: 11229 The Audiopedia
VaR (Value at Risk), explained
 
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Darwinex - The Trader Exchange: https://goo.gl/p7TGRY Risk of the DARWIN asset is tracked in terms of VaR (Value at Risk). Our VaR evaluates the potential loss in the worst out of 20 months, in terms of percentage of the equity. Do you want to know more about VaR? We suggest you the following article: http://help.darwinex.com/darwinex-algorithms/metrics-and-charts/var-metric Furthermore, would you like to know what VaR and a DARWIN have in common? Check it out here: http://help.darwinex.com/darwinex-for-investors/what-is-a-darwin
Views: 68728 Darwinex
Value-At-Risk: Decision-Making in Cybersecurity Investments
 
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Sateesh Bolloju, Principal Architect, Thales Avionics Inc. Many security professionals are challenged with limited cybersecurity budgets, unlimited threats, and are unable to articulate the value of cybersecurity investments to executives. How do we overcome this challenge? The answer is “Value-at-Risk” measure, which helps executives in answering “what, where and how much” to invest in cybersecurity by quantifying the cyber-risks in terms of business value. Learning Objectives: 1: Understand the “what, where and how much” to invest in cybersecurity. 2: Learn the “Value-at-Risk” (VaR) framework and how to quantify cyber-risks. 3: Learn how to make effective decisions in cyber-investments with the VaR model. https://www.rsaconference.com/videos/value-at-risk-decision-making-in-cybersecurity-investments-overflow
Views: 202 RSA Conference
VAR and Risk Budgeting in Investment Management
 
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Training on VAR and Risk Budgeting in Investment Management by Vamsidhar Ambatipudi
Measuring Investments' Risk: Value At Risk
 
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In this short video, we'll explain how an investment's risk gets measured. Closed-captions-only tutorial, please activate CC.
Views: 3420 Darwinex
FRM: Value at Risk (VaR): Historical simulation for portfolio
 
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This example is a portfolio of three stocks: GOOG, YHOO, and MSFT. Process is: 1. I calculated for each stock the historical series of daily periodic returns (bottom left, below). 2. For each historical day (e.g., Friday 7/18), I calculate the portfolio gain/loss as if I held the current portfolio on that day. This is the essence of the idea: run historical returns through the current portfolio allocation. 3. This produces an historical series (right column, green) of simulated portfolio returns. Now I can treat as with the single-asset; e.g., if I want 95% VaR, then I need = PERCENTILE(range, 5%). For more financial risk videos, please visit our website! http://www.bionicturtle.com
Views: 148779 Bionic Turtle
Financial Risk: VaR of Put Option: FRM Q&A (Valuation: VaR)
 
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You are asked to estimate the VaR of an investment in Big Pharma Inc. The company's stock is trading at USD 23 and the stock has a daily volatility of 1.5%. Using the delta-normal method, what is the 1-day (holding period) 95% confident VaR of a long position in an at-the-money put on this stock , if the put has a delta of -0.50? Bonus: what is the put option's 10-day VaR? For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 9162 Bionic Turtle
Four Levels of Risk & Return in Real Estate Investing
 
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There are for levels of risk and expected return in real estate investing: Core, Core-Plus, Value-Add, and Opportunistic. Website: http://erezcohen.net Facebook: https://www.facebook.com/TheErezCohen Instagram: https://www.instagram.com/TheErezCohen Twitter: https://twitter.com/TheErezCohen In this video: The four levels of real estate investing risk vs expected return. The higher the risk, the higher the expected return. Core: Core assets are considered the safest and have the least risk. Core properties are stable assets such as Triple-A office buildings in major cities such as New York, London, or Tokyo. They are usually best-in-class properties on main avenues and locations, with high occupancies and triple-A credit tenants. Because of this, in an economic downturn, they are usually the last to lose tenants. Core assets are usually large assets owned by well-capitalized entities such as pension funds, endowments, sovereign wealth funds, REITs, and other institutional investors. These assets are similar to a bond; you buy and receive a yield – there is not much an owner can do to add value.    Core investments usually translate to single-digit annual returns 6 and 9 percent. It does not make sense to take on too much debt, these assets usually take on less than 50% financing (LTV ratio). Core-Plus: The assets in this category have a little more risk than Core assets. They are usually a little older in age, a few blocks away from the main avenues in large cities, and they might have lower occupancies due to one of the main tenants leaving. Instead of a 97 percent occupancy, they might have an 83 percent occupancy. Assets in this category generally have projected annual returns between 9 percent and 12 percent. Because the projected returns of these assets are higher than Core assets, the owners of these buildings usually operate with forty to sixty-five percent financing of the asset value. Investors in this category are not prone to take on too much risk, so they understandably don’t pursue higher financing ratios. Value-Add: These assets generally have a problem like re-tenanting, renovations, and leasing to increase vacancy. For example, an office building that lost its anchor tenant (which occupied 35 percent of the building) or a hotel that needs to be completely renovated with a large investment. You can also apply this on a small-scale investment to a house that you are considering buying which is outdated and in need of remodeling. Depending on the time at which it is bought within the cycle, this property should usually be bought at a discount, given it needs fixing. The projected return for this real estate is between 12 percent and 18 percent IRR and therefore high enough to also merit the obtainment of debt. Financing is usually between 50 and 75 percent of the total asset value. Opportunistic: These are the riskiest types of assets because they have either major problems to overcome or they are ground-up developments, depending on where you are in the world. Some problems could be serious financial distress, where a bank wants to foreclose on the property or the building is existent but completely vacant. These assets usually require a specific type of expertise either in turning around real estate or in ground-up development. Projected returns in this cluster are usually 18 percent or higher, and financing is usually up to 75 percent. However, in this category, unlike the other three, it is usually difficult to get debt upon acquisition of the asset or vacant land.
Views: 6274 Erez Cohen
Value at Risk (VaR)
 
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Value at Risk describes the probability of a loss threshold over a time horizon. At Darwinex, Value at Risk describes a 5% likely loss over a 1 month investment threshold.
Views: 826 Darwinex
CVaR Portfolio Optimization
 
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Get a Free Trial: https://goo.gl/C2Y9A5 Get Pricing Info: https://goo.gl/kDvGHt Ready to Buy: https://goo.gl/vsIeA5 Create and optimize Conditional Value at Risk portfolios. For more videos, visit http://www.mathworks.com/products/finance/examples.html
Views: 11770 MATLAB
Value at Risk or VaR - Stock Selection | HINDI
 
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Value at Risk or VaR is one of the most used risk management tools by the investors and traders. It is a statistical tool. Value at Risk or VaR tells the probability of loss with 99% or 95% accuracy over a period of time. Value at Risk or VaR is critical when the market is in downtrend or bear phase. It basically tells how much money you can lose in a particular stock. In the stock market, risk management is important for risk-averse retail investors. Secondly, it also helps in stock selection depending on the risk appetite. As a thumb rule, i invest only in stocks with the Value at Risk or VaR of less than 7.5%. It reduces my loss in the stock market. If you liked this video, You can "Subscribe" to my YouTube Channel. The link is as follows https://goo.gl/nsh0Oh By subscribing, You can daily watch a new Educational and Informative video in your own Hindi language. For more such interesting and informative content, join me at: Website: http://www.nitinbhatia.in/ T: http://twitter.com/nitinbhatia121 G+: https://plus.google.com/+NitinBhatia #NitinBhatia
Views: 41287 Nitin Bhatia
Value at Risk - Introduction
 
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Description of historical and normal distribution methods for computing Value at Risk (VAR) of a portfolio
Views: 116882 westofvideo
Value At Risk explained
 
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Views: 6028 Uris Stats
Conditional VAR and Margin Calls
 
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How much collateral to set aside against "crowded trades"? - Lutfey Siddiqi Lecture
Views: 772 Lutfey Siddiqi
Value at Risk - based Portfolio Optimization
 
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Dr. Emanuele Canegrati explains the future of Portfolio Optimization Techniques which respects Basle II Protocol to manage the market risks of banks and financial institutions
Views: 7583 quantsfinance
Coherent risk measures and why VaR is not coherent (FRM T4-5)
 
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[my xls is here https://trtl.bz/2ErWQl8] Coherence requires that a risk measure meets all four of the following conditions unconditionally: 1. Translation invariance (aka, adding cash reduces risk), 2. Positive homogeneity (aka, risk is proportional to size"), 3. Monotonicity (aka, If Y dominates X, then Y is less risky than X), and 4. Subadditivity (aka, the risk measure should not penalize diversification). Value at risk (VaR) is a popular risk measure but VaR is NOT coherent because it is not necessarily sub-additive (instead, VaR is only subadditive if the returns are normally distributed). We can illustrate VaR's lack of subadditivity by observing that the VaR of a single bond can easily be zero, yet when combined into a portfolio of identical bonds, the portfolio VaR is greater than zero. VaR is often not subadditive when such a property is most desired: when the tails are heavy. Lack of subadditivity is of practical significance.
Views: 797 Bionic Turtle
Value at Risk
 
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Training on Value at Risk by Vamsidhar Ambatipudi
Front-Office Risk Analyst (Société Générale)
 
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Market Risk Management (Analyst) : MRMA has overall responsibility for independently measuring, monitoring, analyzing, and reporting market risks associated with Goldman Sachs' Broker-Dealer and Investment Management ("IMD") Divisions. For hedge funds, MRA calculates Value at Risk; volatility; marginal contribution to risk by asset class; and "severe loss" scenarios. The risk models used are the same as those used for managing the risk of the Firm's broker dealer trading businesses. For mutual funds, MRA calculates a number of stress tests and analyzes active weights in a portfolio compared to those in the relevant benchmark. Particular focus is given to concentrations and liquidity in relation to the market. MRA is also responsible for regulatory market risk reporting for mutual funds, depending on their domicile. Responsibilities: • Daily/weekly monitoring of the risks associated with both hedge funds and mutual funds, across equity and fixed income strategies. • Develop, implement, and enhance stress tests, scenario analyses, and risk decompositions. • Build and maintain relationships with businesses, providing regular updates on changes in risk metrics and stress tests to senior IMD Management. Basic Qualifications • Bachelors Degree in a relevant discipline • Minimum one year of experience Preferred Qualifications • Strong written and verbal communication skills -- able to work with a wide range of constituents (i.e. from Portfolio Managers to Controllers to Technology) • Proven record of strong internal performance • Detail Oriented with a strong control mentality • Acute and pro-active interest of what is happening in financial markets on a day-to-day basis • Highly motivated and assertive with a "can-do" attitude We want to build the next generation models that would make the world economy better off.
Views: 58534 QUANT GEN
What is Var Margin?
 
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What is value at risk ? | What is initial margin ? | What is mark to market margin (MTM) ?
 
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In this video I have explained about value at risk, initial margin and mark to market margin (MTM) which is related to derivative market or future and option market. Playlist Link Basics of share market & fundamental analysis https://www.youtube.com/playlist?list=PL1IJYUL0GI2vUGppVQvUjQcMN6rbI4beh Playlist Link Technical analysis https://www.youtube.com/playlist?list=PL1IJYUL0GI2stu-GN4ZRDZfcgOA40DvSj Playlist Link - Derivative Market | Future and Option Market https://www.youtube.com/playlist?list=PL1IJYUL0GI2uh32ho4eXoilooN1AA8r89 Follow us on YouTube - https://www.youtube.com/c/IESShareMarketTrainingInstitute Visit our website- https://www.purensuremoney.com/ Visit our blog - https://sharemarket-training.blogspot.in/ You can follow us on Facebook -https://www.facebook.com/IesShareMarketTrainingInstitute/ You can follow us on Twitter- https://twitter.com/sarsarode IES Share Market Training Institute established in 2004 by Mr Prashant Sarode with a basic idea to equip common man to earn money from share market even without any investment by working part or full time professionally. He has a rich experience in share market since 2002. He has trained more than 3500 individuals. If any trader or investor wants to earn money then, they have to predict the prices of shares, index, commodity or currency. This is possible in two ways one is fundamental analysis and other is technical analysis. We analyse company's prices by studying its fundamental through various ratios, global and domestic economic issues. But many times we found fundamentally it's all right but the prices are going exactly opposite to the fundamentals. This is due to sentiments of traders and investors. If sentiments are positive prices will go up and if it is negative prices will go down. So it is important to analyse market technically then, only you can earn money while trading or investing. That's why we want to equip traders and investors with this kind of knowledge to trade successfully in the market. Improve financial literacy in the fastest growing INDIA is the mandate for our Institute.
Basic Monte Carlo Simulation of a Stock Portfolio in Excel
 
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https://alphabench.com/data/monte-carlo-simulation-tutorial.html Demonstration of a simple Monte Carlo simulation technique or Monte Carlo method that utilizes the Excel Data Table feature to replicate iterations. This tutorial models annual investments in an S&P 500-like environment. No add-ins are used; 100% pure Excel. Monte Carlo simulation in Excel typically makes use of add-in software for Excel like Palisades Decision Suite or Oracle's Crystal Ball, but we can do a reasonable job modeling Monte Carlo Simulation with Excel, using just Excel. Monte Carlo Simulation is one of the most highly used and important numerical techniques used in finance. A dynamic histogram can be added to further characterize a return profile. See my video on the topic if interested: https://youtu.be/WsQH3AtJqxY For a Monte Carlo simulation to approximate individual stock price movement see: https://youtu.be/1ot7HOI3wQE
Views: 212015 Matt Macarty
Value at Risk | Basel 2
 
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An introduction to Value at Risk using components of the corresponding module found under Optimal MRM's market risk e-Learning service. The full presentation includes risk measurement exercises in Excel and guides subscribers as they practice the concepts and techniques presented in a hands-on manner. We invite you to attend a complimentary e-Learning demo module (https://www.optimalmrm.com/services/elearning-catalog/17-banks/22-basel/) to experience how Optimal MRM delivers a practical understanding of risk in a rich and interactive manner.
Views: 13298 Optimal MRM
Types of Risks Involved when Investing in Stocks, Bonds, and Real Estate
 
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Let's make the financial world very simple and understandable. Types of risks involved with investing in stocks, bonds, and real estate. Have you ever wondered exactly how much risk is involved with the investing? It never fails, when I have new clients coming in, they say they want all of the upside but none of the downside. Basically, they want their cake and to eat it too. However, the problem is you can't invest without taking some risks.  We face a variety of risks when investing route. So today I'm going to go over what those are and how you can deal with them. Types of Risk Involved with Investing 1. Market risk The risk of investments declining in value because of economic developments or other events that affect the entire market. The main types of market risk are equity risk, interest rate risk, and currency risk.  Equity risk – applies to an investment in shares. The market price of shares varies all the time depending on demand and supply. Equity risk is the risk of loss because of a drop in the market price of shares. Interest rate risk – applies to debt investments such as bonds. It is the risk of losing money because of a change in the interest rate. For example, if the interest rate goes up, the market value of bonds will drop. Currency risk – applies when you own foreign investments. It is the risk of losing money because of a movement in the exchange rate. For example, if the U.S. dollar becomes less valuable relative to the Canadian dollar, your U.S. stocks will be worthless in Canadian dollars. 2. Liquidity risk The risk of being unable to sell your investment at a fair price and get your money out when you want to. To sell the investment, you may need to accept a lower price. In some cases, such as exempt market investments, it may not be possible to sell the investment at all. 3. Concentration risk The risk of loss because your money is concentrated in a particular type of investment. When you diversify your investments, you spread the risk over different types of investments, industries, and geographic locations. 4. Credit risk The risk that the government entity or company that issued the bond will run into financial difficulties and won't be able to pay the interest or repay the principal at maturity. Credit risk applies to debt investments such as bonds. You can evaluate credit risk by looking at the credit rating of the bond. For example, long-term Canadian government bonds have a credit rating of AAA, which indicates the lowest possible credit risk. 5. Inflation risk The risk of a loss in your purchasing power because the value of your investments does not keep up with inflation. Inflation erodes the purchasing power of money over time – the same amount of money will buy fewer goods and services. Inflation risk is particularly relevant if you own cash or debt investments like bonds. Shares offer some protection against inflation because most companies can increase the prices they charge to their customers. Share prices should, therefore, rise in line with inflation. Real estate also offers some protection because landlords can increase rents over time. 6. Horizon risk The risk that your investment horizon may be shortened because of an unforeseen event, for example, the loss of your job. This may force you to sell investments that you were expecting to hold for the long term. If you must sell at a time when the markets are down, you may lose money. 7. Longevity risk The risk of outliving your savings. This risk is particularly relevant for people who are retired or are nearing retirement. 8. Foreign investment risk The risk of loss when investing in foreign countries. When you buy foreign investments, for example, the shares of companies in emerging markets, you face risks that do not exist in Canada, for example, the risk of nationalization. 9. Call Risk  This is a risk for bond issues and refers to the possibility of a debt security being called before maturity. This typically takes place when interest rates are dropping. 11. Social / Political Risk  The risk associated with the possibility of nationalization, unfavorable government action or social changes resulting in a loss of value is called social or political risk. These are just a blip of the different types of risk that are involved with investing. You can experience any of these at any time! I tell you all that because investing is complicated, which is why I implore you to hire a CERTIFIED FINANCIAL PLANNER™. Making that choice could help make your life financially simple. Contact us if you have questions about these or any more of the risks involved with investing. Thanks for watching Types of risks involved with investing in stocks, bonds, and real estate. Check out my blog, www.financiallysimple.com
FRM: Three approaches to value at risk (VaR)
 
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This is a brief introduction to the three basic approaches to value at risk (VaR): Historical simulation, Monte Carlo simulation, Parametric VaR (e.g., delta normal). For more financial risk videos, visit our website at http://www.bionicturtle.com!
Views: 186407 Bionic Turtle
Conditional Value of Risk Day 6
 
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Lecture with Kourosh Marjani Rasmussen. Kapitler:
Views: 92 DTUdk
Calculating VAR and CVAR in Excel in Under 9 Minutes
 
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Learn how to calculate VAR and CVAR in Excel. We'll also teach you the difference between VAR and CVAR. Not enough for you? Want to learn more R? Our friends over at DataCamp will whip you into shape real quick if you need help: https://www.datacamp.com/courses/free-introduction-to-r?tap_a=5644-dce66f&tap_s=84932-063f71 Or if you're more of a Python guy, we have an intro to finance for Python course live on DataCamp right now: https://www.datacamp.com/courses/introduction-to-portfolio-analysis-in-r?tap_a=5644-dce66f&tap_s=84932-063f71 Join the Quants by taking our Quant Course at http://quantcourse.com
Views: 96204 QuantCourse
Stressed VaR | Basel 2.5
 
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An introduction to Stressed VaR, using components of the corresponding module found under Optimal MRM's e-Learning service. The full presentation includes measurement exercises in Excel and guides subscribers as they practice the concepts and techniques presented in a hands-on manner. We invite you to attend a complimentary e-Learning demo module (https://www.optimalmrm.com/services/elearning-catalog/17-banks/22-basel/) to experience how Optimal MRM delivers a practical understanding of risk in a rich and interactive manner.
Views: 11959 Optimal MRM
FRM Part 2 - Introduction to Credit Risk and Credit VAR
 
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FRM Part 2 - Introduction to Credit Risk and Credit VAR
Views: 1150 Finstructor
FRM: Surplus at risk (Pension VaR)
 
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Surplus as risk is value at risk (VaR) for a pension fund. For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 6295 Bionic Turtle
Quantitative Risk Management: Value at Risk (Parametric Models)
 
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This video demonstrates the risk management tool I wrote in Matlab to calibrate parametric VaR models for use in financial risk management.
Views: 1075 Alexander Ockenden
12. What is Financial Risk
 
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Download Preston's 1 page checklist for finding great stock picks: http://buffettsbooks.com/checklist Preston Pysh is the #1 selling Amazon author of two books on Warren Buffett. The books can be found at the following location: http://www.amazon.com/gp/product/0982967624/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=0982967624&linkCode=as2&tag=pypull-20&linkId=EOHYVY7DPUCW3WD4 http://www.amazon.com/gp/product/1939370159/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=1939370159&linkCode=as2&tag=pypull-20&linkId=XRE5CA2QJ3I2OWSW In this lesson, we briefly talked about the difference between risks and rewards. We learned that the 10 year Federal Note is a risk free investment that provides a marginal return. We know that in follow on lessons, we're going to use the 10 year note as our baseline value to relatively compare the value of other investments. When we assess the amount of risk that's associated with an investment, we learned about three factors that make an investment risky. 1. Debt. We learned that as a company increases the amount of debt (or leverage) they use, it typically results in diminishing returns. By avoiding investments that carry a lot of debt, you'll mitigate the risks associated with any investment. 2. Price. Although investors might have the opportunity to purchase a really great business, we learned that the price at which they purchase the asset can actually result in a poor investment. We know that the price is what we pay and that value is what we get. This idea is at the heart of a value based investing approach. 3. Knowledge. One of the hardest things for an investor to do is to admit that they don't know all the facts. Although this may prove challenging, the faster an investor can identify they lack of knowledge or ability to properly account for all the variables, the less risk they'll assume in any investment.
Views: 249538 Preston Pysh
FRM: Historical simulation, value at risk (VaR)
 
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This is an illustration of historical simulation using a single-asset (versus a portfolio). The asset is Google's stock; I pulled daily (periodic) returns for the last 100 days. Note the histogram exhibits fat or heavy-tails with the two outliers including Friday's 10% drop. This example shows some of the pros and and cons of historical simulation: Easy to use (pro): it is just a percentile or quantile function; Unlike parametric or Monte Carlo, no model risk (pro); Treats all historical observations equally (con); May not be enough data in the tails (con, a classic challenge) For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 92459 Bionic Turtle
Value at Risk (VAR) I Alternative Risk Measures
 
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Watch the next finance lesson: https://bluebookacademy.com/courses
Views: 575 BlueBookAcademy.com
Monte Carlo Simulation of S&P 500 w/ Palisade @Risk for Excel
 
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http://alphabench.com/data/palisade-risk-monte-carlo-tutorial.html Tutorial demonstration of Palisades @Risk Monte Carlo simulation add-in for Excel. Demonstration covers defining distributions, outputs, various simulation settings, reports and sensitivity analysis. Provides an overview of the software using an investment in S&P 500 as an example.
Views: 5558 Matt Macarty
Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB
 
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Download a trial: https://goo.gl/PSa78r See what's new in the latest release of MATLAB and Simulink: https://goo.gl/3MdQK1 In this webinar, you will learn how to use MATLAB to verify and validate complex investment strategies. The approach seeks to model an event-driven strategy through Monte Carlo simulation at the instrument level, and to use the portfolio optimization tools - specifically the Conditional Value-at-Risk tools - to identify optimal trading strategies at the portfolio level. In particular, the case study in this webinar determines the conditions needed to successfully implement a covered-call or buy-write strategy. Through simulation and subsequent optimization, it is possible to conclude that covered-call strategies are appropriate under a limited and unexpected set of circumstances. At a higher level, this webinar demonstrates a workflow to analyze general investment strategies that exploits the powerful features available in the MATLAB environment. Webinar highlights: • Conditional Value-at-Risk portfolio optimization • Monte Carlo simulation • Event-driven strategy modeling About the Presenter: Bob Taylor is a developer at MathWorks for computational finance products. View example code from this webinar here: http://www.mathworks.com/matlabcentral/fileexchange/39449
Views: 919 MATLAB
Monte Carlo Simulation of a Stock Portfolio || Python Programming
 
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http://alphabench.com/data/monte-carlo-simulation-python.html Introductory Monte Carlo simulation, or Monte Carlo method, concepts using investing in an S&P 500-like portfolio as an example. Link to Jupyter notebook (there is a link to download the file in the upper-right corner): https://alphabench.com/data/monte-carlo-simulation-python.html
Views: 5555 Matt Macarty
Risk and reward introduction | Finance & Capital Markets | Khan Academy
 
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Basic introduction to risk and reward. Created by Sal Khan. Watch the next lesson: https://www.khanacademy.org/economics-finance-domain/core-finance/investment-vehicles-tutorial/investment-consumption/v/human-capital?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets Missed the previous lesson? Watch here: https://www.khanacademy.org/economics-finance-domain/core-finance/investment-vehicles-tutorial/hedge-funds/v/hedge-fund-strategies-merger-arbitrage-1?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets Finance and capital markets on Khan Academy: When are you using capital to create more things (investment) vs. for consumption (we all need to consume a bit to be happy). When you do invest, how do you compare risk to return? Can capital include human abilities? This tutorial hodge-podge covers it all. About Khan Academy: Khan Academy offers practice exercises, instructional videos, and a personalized learning dashboard that empower learners to study at their own pace in and outside of the classroom. We tackle math, science, computer programming, history, art history, economics, and more. Our math missions guide learners from kindergarten to calculus using state-of-the-art, adaptive technology that identifies strengths and learning gaps. We've also partnered with institutions like NASA, The Museum of Modern Art, The California Academy of Sciences, and MIT to offer specialized content. For free. For everyone. Forever. #YouCanLearnAnything Subscribe to Khan Academy’s Finance and Capital Markets channel: https://www.youtube.com/channel/UCQ1Rt02HirUvBK2D2-ZO_2g?sub_confirmation=1 Subscribe to Khan Academy: https://www.youtube.com/subscription_center?add_user=khanacademy
Views: 96369 Khan Academy
Level II CFA: Definition of VaR Demystified
 
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This is an excerpt from the IFT Level II Port Mgmt on Measuring and Managing Market Risk. Here we understand the definition of VaR. For more videos, notes, practice questions, mock exams and more visit: http://www.ift.world/inbound-signup Facebook: facebook.com/Pass.with.IFT
Views: 1384 IFT
FRM Part2 VAR and Risk Budgeting in Investment Management in Investment Risk
 
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FRM Part 2 training at pacegurus.com by Vamsidhar Ambatipudi on Investment Risk.
FRM Part 2 training VAR and Risk Budgeting in Investment Management - demo
 
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Buy Self Learning Recorded videos for FRM Part 2 training at www.pacegurus.com, Training by Vamsidhar Ambatipudi(IIMI Alumnus,PRM), for more details contact + 91 98480 12123.Support via email/phone/Skype chat. Watch more demo videos on CFA, FRM, Finance and Analytics.
Calculating VaR - VaR Qualifications
 
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In Part 1b, we continue with our discussion of Value at Risk, VaR, starting with the difference between Price and Rate VaR. We move onto another VaR Case study which looks at the determination of VaR using the historical simulation approach. Next we review in detail the processes behind the calculation of each of the three VaR methods, issues with each method and comparisons between them. We see how the calculation is impacted for a change in the liquidation or holding period assumption. Lastly we look at Nicholas Nassim Talebs views on VaR in particular his rules for risk management. Website: http://financetrainingcourse.com/
Views: 1761 FinanceTrainingVideo
What is var margin (Value at risk)
 
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Trade in angel broking with full guidance And support contact me : 7506633890
Views: 80 Abhay Tiwari
How to find the Expected Return and Risk
 
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Hi Guys, This video will show you how to find the expected return and risk of a single portfolio. This example will show you the higher the risk the higher the return. Please watch more videos at www.i-hate-math.com Thanks for learning !
Views: 203764 I Hate Math Group, Inc
How to calculate Value at Risk ? - CAIIB BFM Case Study
 
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This video explains the procedure to calculate value at risk (VaR) in a very simple and easily understandable method.
Views: 46182 Ns Toor
2. Risk and Financial Crises
 
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Financial Markets (2011) (ECON 252) Professor Shiller introduces basic concepts from probability theory and embeds these concepts into the concrete context of financial crises, with examples from the financial crisis from 2007-2008. Subsequent to a historical narrative of the financial crisis from 2007-2008, he turns to the definition of the expected value and the variance of a random variable, as well as the covariance and the correlation of two random variables. The concept of independence leads to the law of large numbers, but financial crises show that the assumption of independence can be deceiving, in particular through its impact on the computation of Value at Risk measures. Moreover, he covers regression analysis for financial returns, which leads to the decomposition of a financial asset's risk into idiosyncratic and systematic risk. Professor Shiller concludes by talking about the prominent assumption that random shocks to the financial economy are normally distributed. Historical stock market patterns, specifically during crises times, establish that outliers occur too frequently to be compatible with the normal distribution. 00:00 - Chapter 1. Financial Crisis of 2007-2008 and Its Connection to Probability Theory 05:51 - Chapter 2. Introduction to Probability Theory 09:58 - Chapter 3. Financial Return and Basic Statistical Concepts 26:29 - Chapter 4. Independence and Failure of Independence as a Cause for Financial Crises 38:58 - Chapter 5. Regression Analysis, Systematic vs. Idiosyncratic Risk 58:59 - Chapter 6. Fat-Tailed Distributions and their Role during Financial Crises Complete course materials are available at the Yale Online website: online.yale.edu This course was recorded in Spring 2011.
Views: 202442 YaleCourses
Hash War! Your Investment At Risk
 
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What it means. Kevin Lawton joins us to explain what's going on with the current Bitcoin Cash folk and hash war. Could this be why the price of Bitcoin plummeted this week? Follow Us: https://cryptoviewing.com https://twitter.com/cryptoviewing https://facebook.com/cryptoviewing Support the Project: https://paypal.me/cryptoviewing https://patreon.com/cryptoviewing BTC:16aSJUYcGRLixKeeSoUpzkGdcNZhigWHy1 LTC: LaAcZvAgHeFH7eWKjZZ7fweKicWsBZELbH ETH: 0xBB843a08F639A1831eEA2Ec76Accb76d661411c0 BCH: qqv3j4qxs9t6n5qdh9lcf9wlhet3mkw3f5rma7pvqy
Views: 5293 CryptoViewing