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VaR (Value at Risk), explained
 
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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 Darwinex - The Trader Exchange: https://goo.gl/p7TGRY
Views: 76539 Darwinex
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: 203069 MIT OpenCourseWare
What is VALUE AT RISK? What does VALUE AT RISK mean? VALUE AT RISK meaning, definition & explanation
 
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✪✪✪✪✪ We're uploading our new, improved version, videos at - http://www.theaudiopedia.com . Check us out and SUBSCRIBE there. ✪✪✪✪✪ ✪✪✪✪✪ 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: 13714 The Audiopedia
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: 3834 Darwinex
What is value at risk (VaR)? FRM T1-02
 
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(Here is my xls http://trtl.bz/1008-what-is-var) Value at risk is just a statistical feature of the probability distribution (the hard part is specifying the probability distribution): VaR is the quantile associated with a selected probability; i.e., what's the worst that can happen with some level of confidence? Discuss this video here in our FRM forum: https://trtl.bz/2D1gWlD Subscribe here https://www.youtube.com/c/bionicturtle?sub-confirmation=1 to be notified of future tutorials on expert finance and data science, including the Financial Risk Manager (FRM), the Chartered Financial Analyst (CFA), and R Programming! If you have questions or want to discuss this video further, please visit our support forum (which has over 50,000 members) located at http://bionicturtle.com/forum You can also register as a member of our site (for free!) at https://www.bionicturtle.com/register/ Our email contact is [email protected] (I can also be personally reached at [email protected]) For other videos in our Financial Risk Manager (FRM) series, visit these playlists: Texas Instruments BA II+ Calculator https://www.youtube.com/playlist?list=PLCBifSfCnx3sjobyTnEyv2N4baxF8-wiS Risk Foundations (FRM Topic 1) https://www.youtube.com/playlist?list=PLCBifSfCnx3sm2OmHA1BO41Zcc4ntUwMG Quantitative Analysis (FRM Topic 2) https://www.youtube.com/playlist?list=PLCBifSfCnx3sormazeHQr5G9etDITYStF Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7) https://www.youtube.com/playlist?list=PLCBifSfCnx3tQuvaS-lG-8ZqUh7NvxRDg Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12) https://www.youtube.com/playlist?list=PLCBifSfCnx3s7iycLx2eZQeIUPo_4a8n8 FM&P: Intro to Derivatives: Exotic options (FRM Topic 3) https://www.youtube.com/playlist?list=PLCBifSfCnx3sfoUGYayuqJRhHA5jCFkGr Valuation and Risk Models (FRM Topic 4) https://www.youtube.com/playlist?list=PLCBifSfCnx3sqbQnW4HkZ3HoScTG0Lluz Coming Soon .... Market Risk (FRM Topic 5) Credit Risk (FRM Topic 6) Operational Risk (FRM Topic 7) Investment Risk (FRM Topic 8) Current Issues (FRM Topic 9) For videos in our Chartered Financial Analyst (CFA) series, visit these playlists: Chartered Financial Analyst (CFA) Level 1 Volume 1 https://www.youtube.com/playlist?list=PLCBifSfCnx3uvB-bf5flMe0gRt0fGyvuz #bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see https://www.123rf.com/license.php); we also use free and purchased images from our account at canva.com (see https://about.canva.com/license-agreements/). In particular, the new thumbnails are generated in canva.com. Please contact [email protected] or [email protected] if you have any questions, issues or concerns.
Views: 25059 Bionic Turtle
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: 155844 Bionic Turtle
VaR and Stress Tests - Financial Markets by Yale University #4
 
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This video is part of an online course, Financial Markets, created by Yale University. Learn finance principles to understand the real-world functioning of securities, insurance, and banking industries. Enroll today at https://www.coursera.org/learn/financial-markets-global?utm_source=yt&utm_medium=social&utm_campaign=channel&utm_content=yale to get access to the full course. About this course: An overview of the ideas, methods, and institutions that permit human society to manage risks and foster enterprise. Emphasis on financially-savvy leadership skills. Description of practices today and analysis of prospects for the future. Introduction to risk management and behavioral finance principles to understand the real-world functioning of securities, insurance, and banking industries. The ultimate goal of this course is using such industries effectively and towards a better society. Visit https://www.coursera.org/learn/financial-markets-global?utm_source=yt&utm_medium=social&utm_campaign=channel&utm_content=yale to learn more! Keep in touch with Coursera! Twitter: https://twitter.com/coursera Facebook: https://www.facebook.com/Coursera/
Views: 1117 Coursera
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: 46743 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: 120062 westofvideo
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: 2079 IFT
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: 906 Darwinex
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: 224172 I Hate Math Group, Inc
VAR and Risk Budgeting in Investment Management
 
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Training on VAR and Risk Budgeting in Investment Management by Vamsidhar Ambatipudi
How to Calculate Value at Risk (VaR) with Excel
 
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https://alphabench.com/data/excel-value-at-risk-tutorial.html -- Also see my Monte Carlo Simulation of VaR Value at Risk (VaR) is a statistical measurement of downside risk applied to current portfolio positions. It represents downside risk going forward a specified amount of time, with no changes in positions held. VaR can be calculated for any time period however, since uncertainty increases with time it is often calculated for a single day or several days into the future. There are two major methods for calculating VaR: 1. using historical data or empirical data, referred to as non-parametric. 2. using an approximation based on some theoretical probability distribution such as the normal distribution. This method is discussed in the tutorial. VaR is supposed to represent a worst case scenario such that there is a low probability that actual losses will exceed the calculated VaR. So for a 95% confidence level VaR represents a downside movement of 1.645 std deviations and for a 99% confidence level it represents a downside move of 2.33 std deviations. When calculating VaR using the method in this tutorial, we are actually calculating a mean VaR based on some pre-specified confidence level. The drawback is it is not possible to estimate how large a loss may be if the downside move exceeds the confidence level.
Views: 1648 Matt Macarty
Value at Risk (VAR) I Alternative Risk Measures
 
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Watch the next finance lesson: https://bluebookacademy.com/courses
Views: 624 BlueBookAcademy.com
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.
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: 6521 Bionic Turtle
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: 261 RSA Conference
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: 193419 Bionic Turtle
Conditional VAR and Margin Calls
 
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How much collateral to set aside against "crowded trades"? - Lutfey Siddiqi Lecture
Views: 1011 Lutfey Siddiqi
Value at Risk
 
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Training on Value at Risk by Vamsidhar Ambatipudi
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: 264033 Preston Pysh
How do you calculate value at risk? Two ways of calculating VaR
 
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In todays video we learn how to calculate VaR or Value at Risk. Buy The Book Here: https://amzn.to/2CLG5y2 Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle What is VAR? The most popular and traditional measure of risk is volatility. The main problem with volatility, however, is that it does not care about the direction of an investment's movement: a stock can be volatile because it suddenly jumps higher. Of course, investors do not get upset about gains. For investors, risk is about losing money, and VAR is based on that idea. By assuming investors care about the odds of a really big loss, VAR answers the question, “How much might I lose in a normal bad day?" and “How much could I lose in a really bad day?" Now let's get specific. A VAR statistic has three components: a time period, a confidence level and a loss amount (or loss percentage). You can see how the "VAR question" has three elements: a relatively high level of confidence (typically either 95% or 99%), a time period (a day, a month or a year) and an estimate of investment loss (expressed either in dollar or percentage terms). There are three methods of calculating VAR: the historical method, the variance-covariance method also known as the model approach) and the Monte Carlo simulation. I have covered Monte Carlo in a separate video. In this video we look at the Historical method and the model approach. What is the Historical method for calculating Value at Risk? The historical method simply re-organizes actual historical returns, putting them in order from worst to best. It then assumes that history will repeat itself, from a risk perspective. What is the Variance-Covariance Method or the model approach for calculating Value at Risk? This method assumes that stock returns are normally distributed. In other words, it requires that we estimate only two factors - an expected (or average) return and a standard deviation - which allow us to plot a normal distribution curve. The idea behind the variance-covariance is similar to the ideas behind the historical method - except that we use the familiar curve instead of actual data. The advantage of the normal curve is that we automatically know where the worst 5% and 1% lie on the curve. They are a function of our desired confidence and the standard deviation What is the Monte Carlo Simulation approach to calculating Value at Risk? The third method involves developing a model for future stock price returns and running multiple hypothetical trials through the model. A Monte Carlo simulation refers to any method that randomly generates trials, but by itself does not tell us anything about the underlying methodology. I have created a separate video on that topic which you can find here. https://www.youtube.com/watch?v=luSEdT2HBI4
Views: 27 Patrick Boyle
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: 9610 Bionic Turtle
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: 109116 QuantCourse
ACCA P4 Value at risk
 
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ACCA P4 Value at risk Free lectures for the ACCA P4 Advanced Financial Management Exams
Views: 17157 OpenTuition
60 seconds on Carbon Value at Risk
 
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Andrew Howard, Head of Sustainable Research, explains how we are modelling the impacts of tougher climate regulations on investments; a process known as Carbon Value at Risk (VaR).
Views: 1090 Schroders
What is the (Basic) Historical Simulation approach to value at risk (VaR)? FRM T1-5
 
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[Here is my XLS http://trtl.bz/frm-t1-5-hs-var] Basic historical simulation sorts the actual loss history and, for example, the 95th HS VaR is the 6th worst out of 100 observations. Discuss this video here in our forum: https://trtl.bz/2SgelsA Subscribe here https://www.youtube.com/c/bionicturtle?sub-confirmation=1 to be notified of future tutorials on expert finance and data science, including the Financial Risk Manager (FRM), the Chartered Financial Analyst (CFA), and R Programming! If you have questions or want to discuss this video further, please visit our support forum (which has over 50,000 members) located at http://bionicturtle.com/forum You can also register as a member of our site (for free!) at https://www.bionicturtle.com/register/ Our email contact is [email protected] (I can also be personally reached at [email protected]) For other videos in our Financial Risk Manager (FRM) series, visit these playlists: Texas Instruments BA II+ Calculator https://www.youtube.com/playlist?list=PLCBifSfCnx3sjobyTnEyv2N4baxF8-wiS Risk Foundations (FRM Topic 1) https://www.youtube.com/playlist?list=PLCBifSfCnx3sm2OmHA1BO41Zcc4ntUwMG Quantitative Analysis (FRM Topic 2) https://www.youtube.com/playlist?list=PLCBifSfCnx3sormazeHQr5G9etDITYStF Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7) https://www.youtube.com/playlist?list=PLCBifSfCnx3tQuvaS-lG-8ZqUh7NvxRDg Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12) https://www.youtube.com/playlist?list=PLCBifSfCnx3s7iycLx2eZQeIUPo_4a8n8 FM&P: Intro to Derivatives: Exotic options (FRM Topic 3) https://www.youtube.com/playlist?list=PLCBifSfCnx3sfoUGYayuqJRhHA5jCFkGr Valuation and Risk Models (FRM Topic 4) https://www.youtube.com/playlist?list=PLCBifSfCnx3sqbQnW4HkZ3HoScTG0Lluz Coming Soon .... Market Risk (FRM Topic 5) Credit Risk (FRM Topic 6) Operational Risk (FRM Topic 7) Investment Risk (FRM Topic 8) Current Issues (FRM Topic 9) For videos in our Chartered Financial Analyst (CFA) series, visit these playlists: Chartered Financial Analyst (CFA) Level 1 Volume 1 https://www.youtube.com/playlist?list=PLCBifSfCnx3uvB-bf5flMe0gRt0fGyvuz #bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see https://www.123rf.com/license.php); we also use free and purchased images from our account at canva.com (see https://about.canva.com/license-agreements/). In particular, the new thumbnails are generated in canva.com. Please contact [email protected] or [email protected] if you have any questions, issues or concerns.
Views: 5597 Bionic Turtle
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. Discuss this video here in our from forum: https://trtl.bz/2VLNiL6.
Views: 1676 Bionic Turtle
Dr Jessica Stauth: Portfolio and Risk Analytics in Python with pyfolio | PyData NYC 2015
 
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Dr Jessica Stauth: Portfolio and Risk Analytics in Python with pyfolio PyData NYC 2015 Pyfolio is a recent open source library developed by Quantopian to support common financial analyses and plots of portfolio allocations over time. Pyfolio is a tear sheet that consists of various individual plots that provide a comprehensive image of the performance of a trading algorithm and features advanced statistical analyses using Bayesian modeling. (http://quantopian.github.io/pyfolio/). Python is quickly establishing itself as the lingua franca for quantitative finance. The rich stack of open source tools like Pandas, the Jupyter notebook, and Seaborn, provide quants with a rich and powerful tool belt to analyze financial data. While useful for Quantitative Finance, these general purpose libraries lack support for common financial analyses like the computation of certain risk factors (Sharpe, Fama-French), or plots of portfolio allocations over time. Pyfolio is a recent open source tool developed by Quantopian to fill this gap. At the core of pyfolio is a so-called tear sheet that consists of various individual plots that provide a comprehensive image of the performance of a trading algorithm/portfolio. In addition, the library features advanced statistical analyses using Bayesian modeling. The software can be used stand-alone, w**ith our open-source backtesting library Zipline and is available on the Quantopian platform. This talk will be a tutorial on how to get the most out of this library (http://quantopian.github.io/pyfolio/). Slides available here: http://www.slideshare.net/JessStauth/pydata-nyc-2015 Relevant GitHub repos: https://github.com/quantopian/pyfolio https://github.com/quantopian/zipline www.pydata.org PyData is an educational program of NumFOCUS, a 501(c)3 non-profit organization in the United States. PyData provides a forum for the international community of users and developers of data analysis tools to share ideas and learn from each other. The global PyData network promotes discussion of best practices, new approaches, and emerging technologies for data management, processing, analytics, and visualization. PyData communities approach data science using many languages, including (but not limited to) Python, Julia, and R. PyData conferences aim to be accessible and community-driven, with novice to advanced level presentations. PyData tutorials and talks bring attendees the latest project features along with cutting-edge use cases.
Views: 40185 PyData
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: 13714 Optimal MRM
What is Value at Risk? VaR and Risk Management
 
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In todays video we learn about Value at Risk (VaR) and how is it calculated? Buy The Book Here: https://amzn.to/2CLG5y2 Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle What Is Value at Risk (VaR)? Value at risk (VaR) is a calculation that aims to quantify the level of financial risk within a firm, portfolio or position over a specific time frame. This metric is most commonly used by investment and commercial banks to determine the extent and occurrence ratio of potential losses in their institutional portfolios. Risk managers use VaR to measure and control the level of risk exposure. One can apply VaR calculations to specific positions or whole portfolios or to measure firm-wide risk exposure. VaR modeling aims to calculate the potential for loss in the portfolio being assessed and the probability of occurrence for the defined loss. One measures VaR by assessing the amount of potential loss, the probability of occurrence for the amount of loss, and the timeframe involved. A VaR calculation based on data from a period of low volatility may understate the potential for risk events to occur and the magnitude of those events. Risk may be further understated using normal distribution probabilities, which rarely account for extreme or black-swan events. The financial crisis of 2008 exposed many of the problems with VaR as relatively benign VaR calculations understated the potential occurrence of loss events posed by portfolios of subprime mortgages. Risk was underestimated, which resulted in extreme leverage ratios within subprime portfolios. As a result, the underestimations of occurrence and risk magnitude left institutions unable to cover billions of dollars in losses as subprime mortgage values collapsed. Risk Management
Views: 39 Patrick Boyle
Value At Risk explained
 
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Views: 6219 Uris Stats
What is Var Margin?
 
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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: 226247 Matt Macarty
Conditional Value at Risk and Stress Testing in Financial Risk Management
 
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I this weeks class we learn about Conditional Value at Risk and Stress Testing. Buy The Book Here: https://amzn.to/2CLG5y2 Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle What Is Conditional Value at Risk (CVaR)? Conditional Value at Risk (CVaR), also known as the expected shortfall, is a risk assessment measure that aims to quantify the amount of risk an investment portfolio has. CVaR is derived by taking a weighted average of the “extreme” losses in the tail of the distribution of possible returns, beyond the value at risk (VaR) cutoff point. Conditional value at risk is used in portfolio optimization as part of risk management. Understanding Conditional Value at Risk (CVaR) Conditional Value at Risk (CVaR) attempts to address the shortcomings of the VaR model, which is a statistical technique used to measure the level of financial risk within a firm or an investment portfolio over a specific time frame. While VaR represents a worst-case loss associated with a probability and a time horizon, CVaR is the expected loss if that worst case threshold is ever crossed. CVaR, in other words, quantifies the expected losses that occur beyond the VaR breakpoint.
Views: 16 Patrick Boyle
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: 7658 quantsfinance
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: 99627 Khan Academy
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: 13194 Optimal MRM
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: 1177 Alexander Ockenden
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: 1777 FinanceTrainingVideo
FRM: How to get portfolio variance/VaR from the covariance matrix
 
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To get portfolio variance, we post-multiply the vector of positions (x) by the covariance matrix, then pre-multiply the transposed vector (x'). For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 53978 Bionic Turtle
Rival RIsk: Value at Risk (VaR)
 
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Rival Risk’s VaR calculation utilizes Monte Carlo simulation, the most advanced and accurate way to calculate VAR, generating thousands of possible future market scenarios to determine the risk of loss in a set timeframe and confidence level. Rival’s Monte Carlo simulation is able to calculate VaR for an account in seconds and provides a unique view into the calculation with graphical displays of the distribution and statistical output. To learn more about Rival Risk's VaR feature and our other smart features, visit www.rivalsystems.com/request-a-demo today.
Views: 174 Rival Systems
Monte Carlo Simulation of a Stock Portfolio || Python Programming
 
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"Try my "Hands-on Python for Finance" course on Udemy free for the first 100 people with code: HPFF0975 https://www.udemy.com/hands-on-python-for-finance/ " 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: 7336 Matt Macarty
Webinar: Value & Risk in the New Energy Era - Rethinking Asset Investment Decisions
 
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Learn what impact today's energy transformation has on utilities and their assets, and how asset investment decisions based on value and risk can help utilities adapt to rapidly changing conditions. Making the right asset investment decisions is a key focus as utilities move to what’s next. They are facing profound changes—from distributed energy resources to energy efficiency to demands for clean energy—that are challenging traditional business models. Utilities must adapt to changing regulations, maintain the reliability of their infrastructure, and focus on activities that deliver shareholder value—all while investing in new technologies and services to build new revenue streams. This webinar features speakers from Duke Energy, Avista Utilities, and Copperleaf.
Views: 160 Copperleaf
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: 1062 MATLAB
CA Final G1- Evaluating Maturity Value of Risk Free Investment  from SFM on http://cakart.in video
 
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Crack CA Final in the 1st attempt. Get India's best faculty video classes for best study at home. Give missed call @9980100288. International students - visit https://www.cakart.in and chat. A smart decision today can save you a lot of time (years) in your career. Give missed call @9980100288 now. This lecture sample from Ideal Classes covers the topic -Financial Derivative from the subject - - Strategic Financial Management of CA Final G1 .For the Video Lecture + eBooks + Question bank package please visit http://www.cakart.in
Views: 72 CA KART
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: 57691 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: 211536 YaleCourses
16. Portfolio Management
 
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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: Jake Xia This lecture focuses on portfolio management, including portfolio construction, portfolio theory, risk parity portfolios, and their limitations. License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu
Views: 596911 MIT OpenCourseWare