Not an instructor on here, just a peer: This isnt something that can usually be shown via a simple excel file (unless your developing with some automation and some VBA code, i.e. utilizing the Goal Seek function). Its an iterative process to align all the partial Beta's to be exactly proportional to partial expected returns. Lets say you have a portfolio with N securities, there is an ideal weight for each security where you are taking on more marginal risk for securities with higher expected returns. By doing so, the delta of your marginal sharpe ratio is = 1. (i.e. all marginal increases to the portfolio of 1 unit of reward will result in more than 1 unit of risk, all marginal decreases of 1 unit of risk will results in losing more than 1 unit of reward). Lets say your starting with a portfolio of N components each with W(i) arbitrary allocation, you can first approximate marginal VaR by calculating the Incremental VaR for each component which is similar to eff duration concept..basically each security you take the average of the Portfolio VaR for +/- 1bps change to that allocation. Then you need to figure out the w(i) of each security in the portfolio where the Expected Return (i) * Weight (i) / Margina VaR (i) are equal. Like I said...its iterative and time consuming. Using matrix math is the best approach to develop a vector of Cov(i,p), covariance of ith component relative to portfolio p.
Hello, I stumbled upon this channel when searching internet for some RM material. I am not familiar with GARP or FRM. Can someone comment and/or provide some clarity on what the value of this "FRM" certificate is? Anyone able to provide background in GARP beyond the limited info from their website. I am a practicing Actuary doing enterprise risk mgmt analysis in the Life/Annuity sector and I am very interested to find out more about this organization and the global recognition of this certificate. All the material discussed in this channel are the tools/foundation I use on a daily basis to perform my analysis. I am wondering why and/or if there is any collaboration between GARP and other Insurance/Risk Mgmt organizations that I am more familiar, such as SOA, CIA, RIMS, etc.
![Noob To Max With DRAGON REWORK In Blox Fruits [FULL MOVIE]](http://i.ytimg.com/vi/LnBMOinoOvA/mqdefault.jpg)
Thank you very helpful. Do you have any videos on calculating gamma exposure at different option strike prices?
That cleared many of my doubts !!
Amazing explanation !!
hi, do you have a video on building a Risk Parity Portfolio? i can't find it in your channel
Not an instructor on here, just a peer: This isnt something that can usually be shown via a simple excel file (unless your developing with some automation and some VBA code, i.e. utilizing the Goal Seek function). Its an iterative process to align all the partial Beta's to be exactly proportional to partial expected returns. Lets say you have a portfolio with N securities, there is an ideal weight for each security where you are taking on more marginal risk for securities with higher expected returns. By doing so, the delta of your marginal sharpe ratio is = 1. (i.e. all marginal increases to the portfolio of 1 unit of reward will result in more than 1 unit of risk, all marginal decreases of 1 unit of risk will results in losing more than 1 unit of reward). Lets say your starting with a portfolio of N components each with W(i) arbitrary allocation, you can first approximate marginal VaR by calculating the Incremental VaR for each component which is similar to eff duration concept..basically each security you take the average of the Portfolio VaR for +/- 1bps change to that allocation. Then you need to figure out the w(i) of each security in the portfolio where the Expected Return (i) * Weight (i) / Margina VaR (i) are equal. Like I said...its iterative and time consuming. Using matrix math is the best approach to develop a vector of Cov(i,p), covariance of ith component relative to portfolio p.
Thumbs up!!!!
Are you doing ok? Haven't seen any new videos in a while. Great stuff! Surprised you don't have many more subscribers!
Hi David...Thanks for sharing the video.
You're welcome! Thank you for watching :)
thanks for the very detailed explaination
It's our pleasure!
Hello, I stumbled upon this channel when searching internet for some RM material. I am not familiar with GARP or FRM. Can someone comment and/or provide some clarity on what the value of this "FRM" certificate is? Anyone able to provide background in GARP beyond the limited info from their website. I am a practicing Actuary doing enterprise risk mgmt analysis in the Life/Annuity sector and I am very interested to find out more about this organization and the global recognition of this certificate. All the material discussed in this channel are the tools/foundation I use on a daily basis to perform my analysis. I am wondering why and/or if there is any collaboration between GARP and other Insurance/Risk Mgmt organizations that I am more familiar, such as SOA, CIA, RIMS, etc.
Thumbs up!!!!
Could you please share the Excel, please?
I need to say something
BIONIC is not a turtle