2015 - FRM : VAR Methods Part I (of 2)

FinTree website link: www.fintreeindi...
This series of videos discusses the following key points:
• DEFINING VAR
• CALCULATING VAR
• VAR CONVERSIONS
• THE VAR METHODS
-Linear methods
-Full valuation methods
• Linear Valuation: The Delta-Normal Valuation Method
• Full Valuation: Monte Carlo and Historic Simulation Methods
• COMPARING THE METHODS
• Delta-Normal Method
• Historical Simulation Method
• Monte Carlo Simulation Method
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We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with!
This Video lecture was recorded by our popular trainer for CFA, Mr. Utkarsh Jain, during one of his live CFA Level I Classes in Pune (India).
#FRM #VAR #FinTree

[@user-xy8xh1zg2e]

You are really a good teacher and mentor,god bless for having you

[@vivek9999able]

Where is second part of video? can you pls upload

[@ntcuong01ct1]

Hello friends, I have a few questions: 1 / Risks will be specified after we have identified the audience, objectives, and operational processes ?. 2 / Risk will be directly integrated into the business process ?. 3 / The Risk department is responsible for determining the VaR (Value at Risk) and presenting it to the Board of Directors seeing the risks and proactively preventing them? 4 / Actively preventing risks will help us improve the value of products / services to customers?

[@rameshrevelli]

Very good explanation. Appreciate if you can upload Part 2 as well.

[@shailajanagendra8492]

Hey..Can you please upload part 2 aswell.Very well explained Thanks, Shailaja

[@sophiaisfoodie1586]

Thanks for sharing! Very clear explanation!

[@ghulamnabi3867]

what a clarity of concepts

[@kontah1]

great great explaination, many thanks sir!

[@cpmcmanaman]

Great job! Thank you!

[@linaalmohrib]

This was very efficient and brief... Thank you very much I have a question though regarding the days conversion how come the week is 5 days and the month is 20 and so on because those are not the correct number of days

[@wallflower2677]

Calculation is based on 5 Working days in a week and 20 in a month. Its excluding weekend days (Saturday and Sunday).

[@linaalmohrib]

I see thank you!!

[@sandipsmelody]

at 30 the var is 1.596 when you muktiply 0.0014-(1.28*0.012)=1.536% the calculation was done as 1.396 which is wrong i did both manually and using calculator i got the same

[@freemovies1000]

Best teacher! Great job..thank you!

[@rushikamble4457]

Good Explanation.

[@lmagz84]

Please how can we measure it and CoVaR as systemic risk measure for banking?

[@da_yyaam]

In historic simulations why he took 5th value for 5% VAR (95% conf).. I think it should have been 6th value because if u go from worst to best from left side to right so counting on confidence level basis like 100,99,98,97,96,95% so 6th value is 5% VAR! Same like 100th Day, 99th.....95th Day will be 6th value! Same has explained in Bionic Turtle's FRM series!

[@hamiyatyab2503]

sir can you please upload the second part. or if its uploaded than can u show its link.

[@blankerhans9659]

10:14 I don’t get why it is -2,33 and not -2,3? And what does the 0.3 mean?

[@meklavier4664]

is it possible to calculate the VaR of a series of monthly investment over a period of X number of years?

[@devikagupta3490]

Great! really helpful video... but, please correct some of the calculations in between.

[@hariniseshan7614]

True. loads of calculations are off

[@sreejithvj2985]

If Z value is 1.65 and SD is 1.7%. How we compute return.. 1. 65*1. 7= 2. 805 or 1. 65*1. 7%=0. 02805

[@piyushlalwani8288]

where the link to part 2 of this video?

[@abhayvarn]

Sir can you explain Standard deviation at mean and standard deviation used as Z- score that is -3 to +3 . If S.D +1 is already at Mean than why again it was right the mean.?? Hoping for a positive reply from your side.

[@kathanshah2857]

Sir VAR is measured unsystematic risk? Plz sir reply

[@craftspell3182]

Where is 2 nd part of the video? Monte Carlo simulation

[@TheMobster1980]

Very good work

[@dr.bharathigorthi6995]

excellent explanation

[@elieli9756]

Great job

[@dollyp1819]

Fantastic sir

[@prakashmudhar9479]

Can frm level 1 and cfa 1 level c An be done simultaneously

[@whotube88]

Great tutorial. Well explained.

[@yvonnekagondu7030]

thank you.

[@ThamerAffara]

well explained.. thank you

[@shabbirsb87]

thanks for sharing Ur knowledge

[@avinashjha373]

why did u not upload part 2??

[@prachinavghare7385]

Can you upload the second part please

[@erikasamu3860]

Hello. At the 20:41 sec of the video I think there is a miscalculation. I think if we calculate the VAR (10%) 0.17% - (1.28×0.13) = 0.0036%. So it is a positive return at 10% confidence level and we have a minimal positive return of $17,000,000 × 0.000036 = $612 amount/ a day. Is this right? Zero return would be at 0.00% =0.17% + (Z × 0.13%) so the Z = -1.307 and from the Z table it's give us ~ 0.096 which is VAR (9.6% ). I like your video, it is very helpful. @:-)

[@goldyumt]

I agree, I too got $612. The Video is very good, thanks!

[@jujanangelo]

You should calculate your VaR $ amount with 0.0036 (0.36%) instead of 0.000036. For zero return you would get a VaR of $2,828,800 = 0 - (1.28x0.13) x (17,000,000)

[@georgejoseph5789]

Yes. Answer is USD 612

[@surabhibhandari3837]

Can you please share the link of the second part. I am not able to find it .

[@FintreeIndia]

Dear Surabhi, Thanks for getting in touch with us! The second part is available on our Learning Management System at www.learn.fintreeindia.com/ Best regards, Team FinTree

[@surabhibhandari3837]

@@FintreeIndia Thank you

[@ekyoutuber8877]

great

[@thepkrocks]

Could you please upload the second part

[@FintreeIndia]

Dear Pravin, Thanks for getting in touch with us! The second part is only available on the FInTree Learning Management System. Best regards, Team FinTree

[@thepkrocks]

@@FintreeIndia hi thank for your reply and for the excellent video on var I am a biggner and I want to explore these topics option Greeks , interest rate risk , type of market risk , liquidity risk and rwa (risk weighted asset ) could you guys help with these I tried to register on fin tree website but not able to register.

[@howwtoacademy]

At 7:43 is its Mu = 0 not x = 0

[@priyeshshrivastava7483]

very useful

[@ashishmore4807]

How to calculate in period of six months how many time loss is more than said rupees Or how to calculate days

[@fasooli1000]

125 Days

[@kumarsourav4689]

Clear cut explanation

[@mohammadselim2701]

Thanks.

[@shawonbarai8364]

Sir, Where is the part two

[@Shahmir59]

2nd part of the video is not availabale..

[@MD-im1jx]

Why bottom 5 is taken? How can you tell if 5 % means bottom 5 that will only be true if total observation was 100 which is not specified

[@kgatlimazibuko4227]

How did you get 12500 ?

[@AmritSingh-fj2mh]

Where is second part??

[@nodeal4791]

26:00 What is the "Z value" where is that from?

[@jujanangelo]

The z-score i from the normal distribution table. Our VaR in this case is 1% so you'll go to the table and look up the value for 0.01. Go to minute 9:30, there you'll see how to look up the value.

[@chalmerilexus2072]

Where is part 2 of VaR ?

[@FintreeIndia]

Hi Chal. The second part is available on the FinTree Learning Management System (LMS) at learn.fintreeindia.com

[@sethrollins1816]

Sir where is the part 2 plzzzz comment link

[@FintreeIndia]

Dear Seth, The second part is available on our Learning Management System (LMS) at learn.fintreeindia.com Best regards, Team FinTree

[@sethrollins1816]

@@FintreeIndia Okay thanx a lot sir

[@user-qz4oi3uf2i]

1 hour of Hindi

[@chattounet236]

You speak English like your cue