All About Value at Risk(VaR) | FRM Part 1 2023| Historical Simulation, Delta Normal, Monte Carlo VaR

Hello candidates,
Welcome in All About Value at Risk(VaR) | FRM Part 1 2023| Historical Simulation, Delta Normal, Monte Carlo VaR.
In this video we are talking about all about value at risk which is important in FRM Part 1, 2023 curriculum. FRM is a difficult exam and here in this video, we will taking one concept of FRM Part 1 Exam, which is Value at Risk (VaR).
We have talked about the limitations and interpretations of value at risk. We are also talking about the historical simulation method. Delta normal method, and Monte Carlo approach to calculate the value at risk.
Please make sure to watch our other videos as well, and subscribe to our CZcams channel if you haven't subscribed yet.
Join our telegram channel as well.

[@monishjain5288]

You explain things in such a Fantastic Way.
Honestly best tutor for FRM out there.

[@vardeez]

Thanks for Appreciation Monish !!

[@rachita1798]

I beleive this is by Far the Best Video on Value at Risk.
Thankfully we discovered your Channel
Thank you sir

[@vardeez]

Thanks for Appreciation Rachita !

[@divyaalok5538]

Awesome

[@theseismicwavesmongolia7720]

Just discovered ur page, I bet this is helping so many ppl like me! Thank you!

[@vardeez]

Thanks for Appreciation !!
More videos will be uploaded very soon which will help in your preparation

[@divyaalok5538]

जय श्री कृष्ण

[@kartikkhanna1503]

i have a question, in FRM Part 2 market risk measure to calculated using the following formula (5% * 1000 ) + 1

[@rahulsony569]

I have two question. Firstly, to calculate VaR of a stock, which set of return data I must consider…daily, weekly or monthly ?
Secondly, what should be the date range of the historical return data? Last 1, 3,5 or 10 years ?

[@krisk-rd8uk]

Why did I not Discovered Your Channel.
You are absolutely Amazing.
I just love your teaching style.

[@vardeez]

Thanks for Appreciation Kris
Please share this video, so that others can find us easily.
Thanks again

[@CaslerLee]

Hii, for the Historical Stimulation method part, example at the middle part, may I know why the VaR was changed from 5th one (10.23 sec) to 6th (10.24 sec), so the final answer of VaR should locate at 5th place or 6th?? Hope for clarification thxx

[@sayednab]

can VaR be used on a business subunit?

[@christianscondo7529]

Very well done, thank you.

[@vardeez]

Thank you So Much For Appreciating our Efforts !!

[@rajmishra5630]

best ever video on VaR

[@vardeez]

Thank you for Appreciation Raj !!

[@BubatheGuy]

Thank you very much Sir!!!
As a new Market and Liquidity risk officer, this has been an eye opener for me!
Thank you 🙏🏿

[@vardeez]

Glad that this video brought Value to You.
And Thanks for Appreciating our Efforts!

[@umeshputhran1338]

WOW...
Excellent Teaching Style .
I was struggling to understand Var, but you made it so easy.
Have Subsribed to your CZcams Channel also.

[@vardeez]

Thanks for Appreciation Umesh!!

[@cb1609]

Brilliant Explanation. Thanks

[@vardeez]

Thanks for Appreciation there !!!

[@poojapandey2201]

Nicely Explained.

[@vardeez]

Thanks for Appreciation!

[@keerthipriyadarshini768]

The video is really helpful thank you Sir

[@vardeez]

Thanks for Appreciation Keerthi

[@ghanurathi6462]

Your videos are soo good, I just took a day off to watch all your content.. Please post more videos!! eagerly waiting

[@vardeez]

Thanks again for Appreciation Ghanu
Yes we will post more videos very soon

[@oketundeoluyemi1386]

You are the best have ever seen here, Thank you sir

[@vardeez]

Thanks for Appreciation Oketunde!!!

[@deejayvalisetty7907]

Excellent explanation . Thought understanding the VaR one need to be a pro in Statistics subject but you proved it wrong. Thanks !

[@vardeez]

Thank You So Much For Appreciation Deejay !!

[@niampahamidou8931]

Thanks for this usefull video

[@vardeez]

Hello,
Thank you so much for Appreciation Niampa !!

[@nikunjagrawal8388]

You Method of Teaching is Amazing.
I really like it .

[@vardeez]

Thanks for Appreciation Nikunj !!

[@mayanksharma5175]

Great video

[@vardeez]

Thanks for Appreciation Mayank!!!

[@temwalungu6718]

Your explanation is so clear👏

[@vardeez]

Thanks for Appreciation Temwa !!

[@MaikS820]

Excellent Video

[@vardeez]

Thanks for Appreciation 🙏

[@saiprasadte8811]

Beautifully explained. Thanks!

[@vardeez]

Thanks for Appreciation SaiPrasad!

[@divashinideiva2143]

Good

[@vardeez]

Thanks for Appreciation!!

[@manarlabidi6448]

you are so helpful, please keep making such videos, I need them to graduate lol

[@vardeez]

Thanks for Appreciation Manar !!

[@shashankjain6498]

Should not it be the minimum amount that you would lose at a certain confidence interval than maximum

[@karlag2585]

this is great! one question, for the historical var example you provided - the daily return data was used, but we need the monthly var. The 15.69% is daily var right? we still need to get the monthly.

[@vardeez]

Hi Karla,
We can scale the Var with the square root of time, so daily var can be mutliplied with the sqaure root of a month.

[@ganesh5811]

best video for var !!

[@vardeez]

Thank you Ganesh !!

[@kongher3486]

How can i find ep. CVaR

[@brijeshmishra3980]

Waiting for next video

[@vardeez]

We are on it!

[@bycullaankita597]

Can you please put a video on FRTB explanation covering everything as it is very difficult to crack interview questions related to FRTB

[@vardeez]

Hello,
Will definitely try for that in the Future.

[@hemantbisht5240]

Make a Playlist For these ( Risk ) topics

[@vardeez]

Well the Playlist is already there for Book Wise in the Playlist Section.

[@lmargentina]

Hi, how did we arrive at the z scores of 5%,10% and 1%

[@vardeez]

Hi,
Those are the Z Scores that we get from the Z Tables.
I have a video on my CZcams Channel regarding Z Tables, you can check that out.

[@ThatCurlyGirl]

GOOOOOD JOB. However how about credit risk- PD, LGD, EAD. and operational risk ?

[@vardeez]

Thanks for Appreciation!!
Well for the topics that you have mentioned, it's more of a syllabus in FRM Part 2.
But will try to cover it in videos if possible on CZcams

[@ThatCurlyGirl]

@@vardeez yes. I am looking forward to studying those topics.
Would be grateful if you upload those videos in the near future. :)

[@vardeez]

Okay Sure!

[@akshayshetty143]

where is your other video on VAR? please share the link or put it in the description

[@vardeez]

Hi Akshay,
Other videos has been covered on VaR like Expected Shortfall, Coherent Risk Measures and also the Most Difficult Spectral Risk Measures has been covered in a beautiful way.
Will definitely post those links on the Description Box.
Thanks

[@munichrent2067]

Hello is VAR applicable to use for someone working in a leasing bank?

[@vardeez]

Hello,
Value at Risk may become a Key Driver for Lease decisions for banks who are in the business of leasing. Again it depends on bank's as how they value the risk of lease deals.

[@maheshthengane2114]

When are you going to start FRM level 1 classes

[@vardeez]

Hi Mahesh,
We will put some Revision Videos for FRM Level 1, May 2022 attempt.
So we are working on that currently.
Will start once we are done posting Revision or Crash course videos

[@Ash-lq9cr]

Your videos are too good but have very less time as exam in may 2022 :/ else would have reffered these videos only

[@vardeez]

Hi Ash,
Thanks for Appreciation!!
We will upload more videos very soon which will help in your FRM Exam Prep.

[@karaoke-channel8241]

Could you give us your email ?

[@vardeez]

[e-mail]