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Portfolio Risk: Analytical Methods - AnalystPrep Define, calculate, and distinguish between the following portfolio VaR measures: individual VaR, incremental VaR, marginal VaR, component VaR, undiversified portfolio VaR, and diversified portfolio VaR
Estimating VaR - CFA, FRM, and Actuarial Exams Study Notes Monte Carlo simulations generate random numbers that estimate the return of an asset at the end of the analysis horizon It then uses the same procedure to obtain the VaR estimates as the historical simulation using the obtained returns rather than historical returns
Value-at risk and tail-value-at-risk - Topics in Actuarial Modeling Value-at-risk (VaR) provides a ready answer to this question Mathematically speaking, VaR is a quantile of the distribution of aggregate losses For example, VaR at the 99% probability level indicates the level of adverse outcome such that the probability of exceeding this threshold is 1%
VaR: Parametric Method, Monte Carlo Simulation, Historical Simulation The Excel spreadsheet on the CD provides an example how Monte Carlo simulation can be used to calculate VaR The spreadsheet is divided into four tabs: Time Series, Table of Random Numbers, Simulations and the PV calculation with the Monte Carlo VaR calculation
1 day VaR vs 10 day VaR - Quantitative Finance Stack Exchange Even while using historical simulation VaR, 1 day VaR is converted into 10 day VaR by multiplying 1 day VaR by Sqrt (10) for regulatory reporting purposes What are the underlying assumptions for doing this and how can those assumptions be tested statistically?
Calculating VaR: A Review of Methods - RiskSpan In this brief paper, we outline a case for full revaluation VaR in contrast to a simulated VaR using a “delta-gamma” approach to value assets
Three Methodologies for Calculating VaR - Finance Train Monte Carlo Simulation - Single Asset Template: This spreadsheet provides a step-by-step example of how to calculate the VaR of an asset using Monte Carlo Simulation
Study Notes: Calculating and Applying VaR - Bionic Turtle * Compare delta-normal and full revaluation approaches for computing VaR * Explain structured Monte Carlo and stress testing methods for computing VaR, and identify strengths and weaknesses of each approach
Finalyse: VaR: An Introductory Guide in the context of FRTB The Value-at-Risk metric continues to be widely used in market risk management This article gives an overview of the current regulatory context of VaR and how is it impacted by the FRTB framework