Understanding Basic concept of Value at Risk (VaR) - Simplified

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This Video lecture was recorded by our Lead Trainer for CFA, Mr. Utkarsh Jain, during one of his live Session in Pune (India).
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[@investogramma]

When I see the black screen I anticipate MM content, and suddenly... FinTree :)

[@akhileshkumarmishra301]

Nicely explained @Fintree

[@sunilrana-ss6gq]

Always d best

[@investwithvincent6329]

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"?

[@narseyboy]

The figure is actually 1.282

[@ashwiiniinandesshwar3062]

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.

[@investwithvincent6329]

40:00 I'm unsure how we derived 1.65 in this case

[@stephenchang3625]

Thank you

[@da_yyaam]

What will be VAR of a profit making portfolio?

[@investwithvincent6329]

19:00 I wish we were presented with visual proof that showed us that actual returns have fatter tales compared to normal distributions

[@investwithvincent6329]

17:00 where's a video showing us how to forecast those 100 months?

[@rohitathakur3144]

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?

[@aniketgaur2126]

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%.

[@faisalfoulad6131]

Excellent

[@balwantyadav1238]

Peaceful😂😂😂😂😃😃😃

[@anantk2318]

Well explained sir!!

[@makk3480]

Can someone plz explain how did we get z value of 5% as -1.65 and z value of mean as 0?

[@makk3480]

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!

[@mahmoudihocine2837]

Where is the monte carlo sim part?