I watched a lot of FRTB videos…. This was succinct, refined and eloquent… The Best…,,Thanks
@finRGB Жыл бұрын
Thank you for appreciating, Francisco.
@philipnortey28223 жыл бұрын
Excellent FRTB recap / overview. Very clear and understandable.
@finRGB3 жыл бұрын
Thank you for the appreciation, Philip.
@viveksharma-lf9tm3 жыл бұрын
Excellent overview of FRTB chapter, i have went through multiple videos but this one is very good
@abhishekrasanecfa8402 Жыл бұрын
Could not agree more....Crisp and clear...Well explained. Appreciate the efforts.
@AJ-jy5fv Жыл бұрын
This is amazing explanation.. thanks 🙏
@professormhassan67035 ай бұрын
Very good and succint explanation. Do you do a case example on those calculations anywhere on your channel? it would be really great if you go through the steps with examples.
@finRGB5 ай бұрын
Thank you for the kind words, Prof. Hassan. At the moment, no, but will cater to this in one of the future videos.
@darshanamhatre78273 жыл бұрын
This is so well explained.. thanks a tonn
@finRGB3 жыл бұрын
Glad that the video was helpful, Darshana.
@rajss82993 жыл бұрын
Overall a good video but it seems a few updates are required . For instance the PnL attribution - the old rule are mentioned here . Probably that is what is included in FRM syllabus , I don't know. The revised PnL attribution test is based on rank correlation and kolmogorov-smrinov test
@finRGB3 жыл бұрын
Hello Raj, that's right. The video follows the FRM prescribed reading from John Hull's book on Risk Management and Financial Institutions (2018 edition). Will put in updates for PnL attribution in due course.
@divyaalok5538 Жыл бұрын
Awesome
@khyatipatel228518 күн бұрын
Probably a stupid q, but what is the difference between c/s and C/s volatility risk?
@pragyandas7433 жыл бұрын
excellent
@MrChakudu3 жыл бұрын
It should be Liquidity Horizons => (10/20/40/60/120) Correct me if I am wrong.
@finRGB3 жыл бұрын
Hello Anand, 10/20/60/120/250 as per the 2014 consultative document when the idea was proposed to do away with the standard 10-day horizon used by VaR, and then later revised to 10/20/40/60/120.
@bharatchoudhary44244 жыл бұрын
What do u mean by the thresholds i mean 30 is the limit for what?
@finRGB4 жыл бұрын
If backtesting done for 97.5% confidence daily VaR results in more than 30 exceptions, the trading desk will have to switch to standardized approach till the issues with the model are sorted out.
@bharatchoudhary44244 жыл бұрын
@@finRGB ok so if our losses comes out to be more than VaR for more than 30 times we have to switch to std approach right. But since it is an internal model approach why r we restricted to 97.5% CI, why can't we take hight CI. I understand that it's given by regulator but shouldn't the board of tha bank decide the CI? Btw thanks for replying and also great video man i was reading about frtb but this video was very very helpful great work
@finRGB4 жыл бұрын
@@bharatchoudhary4424 Your understanding is correct. With regards to choice of 97.5%, we are looking for a way to test an internal model that is based on Expected Shortfall prescribed to be calculated at 97.5% confidence. Expected Shortfall is not easy to backtest, so we backtest a proxy i.e. VaR and that too at two confidence levels: 97.5% and 99% confidence.
@SaurabhGupta-ve1bq3 жыл бұрын
Sir plz share the part 1 of the video
@finRGB3 жыл бұрын
Hello Saurabh, this video relates to Part 2 of FRM. It reviews the prescribed FRTB reading in single video, so there aren't two parts to it.