Understanding Basic concept of Value at Risk (VaR) - Simplified
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- čas přidán 25. 09. 2020
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An investment has a uniform distribution where all outcomes between -40 and +60 are equally likely. What are the VaR and expected shortfall with a confidence level of 95%? ========= I got Mu 10 and Sigma 5.77 but still answer is not matching with GARP Book. In GARP Book VAR is 35 and ES is 37.5.
Always d best
Thank you
Well explained sir!!
Nicely explained @Fintree
What will be VAR of a profit making portfolio?
19:00 I wish we were presented with visual proof that showed us that actual returns have fatter tales compared to normal distributions
40:00 I'm unsure how we derived 1.65 in this case
17:00 where's a video showing us how to forecast those 100 months?
Excellent
Peaceful😂😂😂😂😃😃😃
24:57 how come we took the average of the z scores of the second and third values "1.65 & 2.33", but we kept the first one as is "1.28" instead of "1.29"?
The figure is actually 1.282
Where is the monte carlo sim part?
Can someone plz explain how did we get z value of 5% as -1.65 and z value of mean as 0?
Just read about Z value. Hence sharing what I learnt.. If a z-score is equal to 0, it is on the mean. Whereas a negative z score denotes value away from mean . Upon reading further I got to know that -1.65 which translates to 5% below z score ie the value deviates by 5%
Well Sir thanks for the great explanation!
Can someone help me understand why have we started with calculation of 5% VaR? Is this a normal assumption or is like a basis for the risk manager to pick the same?
Usually the confidence interval used are 90%,95% and 99%. There is no assumption in the real world of using 95% as it depends on the conservatism of the risk manager.
Usually in the real world it is 1%.