Estimating Market Risk Measures (FRM Part 2 2023 – Book 1 – Chapter 1)
For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite...
AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams
After completing this reading you should be able to:
Estimate VaR using a historical simulation approach.
Estimate VaR using a parametric approach for both normal and lognormal
return distributions.
Estimate the expected shortfall given P/L or return data.
Define coherent risk measures.
Estimate risk measures by estimating quantiles.
Evaluate estimators of risk measures by estimating their standard errors.
Interpret QQ plots to identify the characteristics of a distribution.
0:00 Introduction
0:16 Learning Objectives
0:58 Estimating VaR using a Historical Simulation Approach
7:51 Estimating Parametric VaR
14:38 Estimating the Expected Shortfall Given P/L or Return Data
18:02 Coherent Risk Measures
20:47 Estimating Risk Measures by Estimating Quantiles
23:39 Evaluating Estimators of Risk Measures by Estimating their Standard Errors
