I guess there's some error here. VaR doesn't denote the maximum possible loss. That would be the value of the entire portfolio. It simply denotes the value of minimum loss over a specified time horizon with expected %age.
So there are two ways to interpret var, assuming 95% confidence level 1) the minimum loss would be (the var number) with 5% confidence. In simple word, we are sure to the tune of 5% that the losses would be more than the var number 2) the maximum loss would be (the var number) with 95% confidence. In simple word, we are sure to the tune of 95% that the losses would be less than the var number.
Why we need to fit a regression line between index's return and stock's return or to calculate beta? Couldn't we simply check the distribution of stock's return and get the 95th percentile value? Please explain.
That would be a plain Historical VaR, here we are doing Historical Simulation, hence we are simulating the future returns using a common risk factor aka Index i.e Nifty for which we need the stocks beta and then generate the future possible returns using historical data.
The formula used in Excel does that for you, even i had the same question, hence i manually sorted and calculated as well used the formula. Answer comes out to be an exact match.
i have been in the field of risk management for over decade. this was an outstanding explanation
I have spent 40 lacs on a Masters degree and this video was much much better than what my university professors teach.
This was really real world example. Really corporate oriented.
Very nicely explained it everything. It will definitely help many people.
Could not understand Continuous and Effective return (16:00), could you share some link to read?
Sir u r doing great job god bless u
excellent. great work
I guess there's some error here. VaR doesn't denote the maximum possible loss. That would be the value of the entire portfolio. It simply denotes the value of minimum loss over a specified time horizon with expected %age.
I have seen this interpretation also. Could you provide some references?
Correct, the word maximum should not have been used, else rest of the explanation is perfect.
So there are two ways to interpret var, assuming 95% confidence level
1) the minimum loss would be (the var number) with 5% confidence. In simple word, we are sure to the tune of 5% that the losses would be more than the var number
2) the maximum loss would be (the var number) with 95% confidence. In simple word, we are sure to the tune of 95% that the losses would be less than the var number.
Can you please make a video and explain IRS and CDS swap Value at risk calculation?
Which Var method is this ? It’s totally confusing with other methods explained in other videos.
How to calculate var of a portfolio containing multiple stocks?
What do I do if I want to calculate Value At Risk in an index itself? What will be the risk factor?
Hello Mr. Agarwal , the session was sweet & simple ...!, You have taken only the Beta value how about the intercept ? Looking forward for you comments
Why we need to fit a regression line between index's return and stock's return or to calculate beta? Couldn't we simply check the distribution of stock's return and get the 95th percentile value? Please explain.
That would be a plain Historical VaR, here we are doing Historical Simulation, hence we are simulating the future returns using a common risk factor aka Index i.e Nifty for which we need the stocks beta and then generate the future possible returns using historical data.
Why you don't sort the values from worst to best(from - to +) before calculating Final VAR?
The formula used in Excel does that for you, even i had the same question, hence i manually sorted and calculated as well used the formula. Answer comes out to be an exact match.
can you make the explanation, why u using the tata steel and nifty?
Sir, please share the excel sheet.
Link for excel sheet is not found. Please share .
Pls provide the link for the relevant excel sheet.
Sir, I didn't find the link for excel sheet.
please share the excel sheet sir, u have not give link here
Where are the excel sheets? Karan Sir.
has anyone got the excel file?
please provide the link for excel sheet
плотную кинул
Sir sheet?
Which course is this ??
Ashutosh Shah .. this ca-final elective subject Risk Management i guess ... but concept is useful in all courses of RM
FRM
Sir, I want this excel sheet.
Can you please mail me?
Please provide sheet or link
Please contact to Soumya Sengupta at 9674093345
Sir Plz provide the excel sheet...
Please share the excel
please share Excel file
can you make the explanation, why u using the tata steel and nifty?