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 KZbin 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 !

[@aryanmanjunatha9265]

amazing

[@vardeez]

Thanks for Appreciation

[@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

[@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

[@sommydee4024]

Thank you so much Sir

[@vardeez]

Most Welcome Appreciate it.

[@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!

[@KattradhuCA]

What is the square root rule? @20:50 Can you please explain why we multiply by root of 5 instead of just 5? (This is the best video I found about VaR! Just this one point is unclear)

[@vardeez]

Well because Volatility is influenced by Random Walk behaviour of Prices. Hence to capture that, Var/SD or Volatility will always be Scaled by Square root of Time.

[@nikunjagrawal8388]

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

[@vardeez]

Thanks for Appreciation Nikunj !!

[@silviacamacho8373]

This is the best video I've found on the subject! I only have one question. From part 6:25 to 7:14, why isn't the buffer of the bank 5000$ instead of 100M?

[@vardeez]

Hi Silvia Thanks for the feedback. Will here the Buffer is 5000, and Not 100M is because the Bank cannot keep 100 percent of their money as a buffer, they need to Earn Profits on their money. Hence they Loan Out money and keep aside the minimum amount as Buffer.

[@silviacamacho8373]

@@vardeez Thank you for the explanation sir. It makes sense now.

[@keerthipriyadarshini768]

The video is really helpful thank you Sir

[@vardeez]

Thanks for Appreciation Keerthi

[@niampahamidou8931]

Thanks for this usefull video

[@vardeez]

Hello, Thank you so much for Appreciation Niampa !!

[@umeshputhran1338]

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

[@vardeez]

Thanks for Appreciation Umesh!!

[@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 !!

[@oketundeoluyemi1386]

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

[@vardeez]

Thanks for Appreciation Oketunde!!!

[@christianscondo7529]

Very well done, thank you.

[@vardeez]

Thank you So Much For Appreciating our Efforts !!

[@divyaalok5538]

जय श्री कृष्ण

[@cb1609]

Brilliant Explanation. Thanks

[@vardeez]

Thanks for Appreciation there !!!

[@rajmishra5630]

best ever video on VaR

[@vardeez]

Thank you for Appreciation Raj !!

[@poojapandey2201]

Nicely Explained.

[@vardeez]

Thanks for Appreciation!

[@MaikS820]

Excellent Video

[@vardeez]

Thanks for Appreciation 🙏

[@divashinideiva2143]

Good

[@vardeez]

Thanks for Appreciation!!

[@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

[@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 ?

[@divyaalok5538]

Awesome

[@temwalungu6718]

Your explanation is so clear👏

[@vardeez]

Thanks for Appreciation Temwa !!

[@manarlabidi6448]

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

[@vardeez]

Thanks for Appreciation Manar !!

[@ganesh5811]

best video for var !!

[@vardeez]

Thank you Ganesh !!

[@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.

[@saiprasadte8811]

Beautifully explained. Thanks!

[@vardeez]

Thanks for Appreciation SaiPrasad!

[@mayanksharma5175]

Great video

[@vardeez]

Thanks for Appreciation Mayank!!!

[@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 KZbin

[@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!

[@kartikkhanna1503]

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

[@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.

[@hemantbisht5240]

Make a Playlist For these ( Risk ) topics

[@vardeez]

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

[@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

[@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

[@brijeshmishra3980]

Waiting for next video

[@vardeez]

We are on it!

[@NeerajSingh-xh6qj]

11:55 11:56 how did you know 50th. Value comes here?

[@sayednab]

can VaR be used on a business subunit?

[@shashankjain6498]

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

[@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 KZbin Channel regarding Z Tables, you can check that out.

[@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.

[@somyaagarwal2942]

So historial method assumes returns are normally distributed??

[@vardeez]

Well Historical Method does NOT assume any Specific Distribution

[@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.

[@somyaagarwal2942]

confidence goes up then var should go down right?

[@vardeez]

No it will be higher as we are moving Further in the Loss Tails

[@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

[@kongher3486]

How can i find ep. CVaR

[@karaoke-channel8241]

Could you give us your email ?

[@vardeez]

[e-mail]