Measures of Financial Risk (FRM Part 1 2023 - Book 4 - Chapter 1)
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- Опубликовано: 17 окт 2024
- For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: analystprep.co...
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After completing this reading, you should be able to:
Describe the mean-variance framework and the efficient frontier.
Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.
Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR.
Define the properties of a coherent risk measure and explain the meaning of each property.
Explain why VaR is not a coherent risk measure.
Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES.
Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures.
Describe how the results of scenario analysis can be interpreted as coherent risk measures.
Hello Prof. James! Had followed your free web content to prepare for L1 (along with Schweser and official guide) and I would like to attribute my success in L1 exam (took in Nov 2021) to you!
Thank you for enriching my journey! Keep motivating us!
Regards from India!
My gratitude to you for the videos you have posted on this platform. It helped me in building a strong foundation for clearing Part 1 examination. Thank you very much Professor!
Regards from India!
Sir, you are just superb. Well done. What phenomenal pedagogy you have ! May I kindly ask you if you happen to have a course (which I can pay for) where you employ risk metrics, scenario tests etc... in excel ?
Hello sir, I was asked in an interview for which period Var is applicable?
Banks calculate VAR on a daily basis using past 1 year data. does this mean VAR number calculated for that particular day is applicable only on that day?
Hi. Thanks for the lectures. However, in your playlist some lectures are missing. (FRM Part 1 Book 4 Chapter, 3, 4, 5 and 10)
Hi Bond. You can find all video lessons by registering an account at analystprep.com/frm/
The VAR describes the best scenario of those worst possible series of losses.
Prof.James - inspired by your lectures...Keep up the great work
Glad you like them and good luck on the exam!
Thank you so much !!!
Is this video covering new frm 2020 part 1 ??
Hi. No, this is simply an older video in which there was a slight calculation mistake. It has been fixed. The new 2020 video, although with most of the same learning objectives, should be coming soon!
When the new video will come for this topics, I am waiting from few months Sir
All videos from all FRM books can be found at app.analystprep.com/ by registering an account and then upgrading to a premium package. I hope this helps!
Thanks
Welcome!