Value at risk

What is Value at Risk? VaR and Risk Management

In todays video we learn about Value at Risk (VaR) and how is it calculated? Buy The Book Here: https://amzn.to/37HIdEB Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle What Is Value at Risk (VaR)? Value at risk (VaR) is a calculation that aims to quantify the level of

From playlist Risk Management

Risk Management Lesson 5A: Value at Risk

In this first part of Lesson 5, we discuss Value-at-Risk (VaR). Topics: - Definition of VaR - Loss distribution and confidence level - The normal VaR

From playlist Risk Management

FRM: Parametric value at risk (VaR): Pros & Cons

Here is a quick explanation of parametric value at risk (VaR) as a means to illustrating its strengths/weaknesses. Please note: The essence of parametric VaR is "no data:" while historical data is surely used to select a distribution and calibrate its parameters, a parametric VaR leans on

From playlist Value at Risk (VaR): Introduction

Marginal value at risk (marginal VaR)

This is a review which follows Jorion's (Chapter 7) calculation of marginal value at risk (marginal VaR). Marginal VaR requires that we calculate the beta of a position with respect to the portfolio. For more financial risk videos, visit our website! http://www.bionicturtle.com

From playlist Value at Risk (VaR): Introduction

FRM: Three approaches to value at risk (VaR)

This is a brief introduction to the three basic approaches to value at risk (VaR): Historical simulation, Monte Carlo simulation, Parametric VaR (e.g., delta normal). For more financial risk videos, visit our website at http://www.bionicturtle.com!

From playlist Value at Risk (VaR): Introduction

How do you calculate value at risk? Two ways of calculating VaR

In todays video we learn how to calculate VaR or Value at Risk. Buy The Book Here: https://amzn.to/37HIdEB Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle What is VAR? The most popular and traditional measure of risk is volatility. The main problem with volatility, how

From playlist Risk Management

QRM L1-1: The Definition of Risk

Welcome to Quantitative Risk Management (QRM). In this first class, we define what risk if for us. We will discuss the basic characteristics of risk, underlining some important facts, like its subjectivity, and the impossibility of separating payoffs and probabilities. Understanding the d

From playlist Quantitative Risk Management

Conditional Value at Risk and Stress Testing in Financial Risk Management

I this weeks class we learn about Conditional Value at Risk and Stress Testing. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on t

From playlist Risk Management

Risk Management 5B: Value at Risk (continued) and Expected Shortfall

This is the second part of Lesson 5. Topics: - The VaR for empirical distributions - The Expected Shortfall - Coherence of VaR and ES

From playlist Risk Management

Risk-neutral probabilities (FRM T5-07)

One of the harder ideas in fixed income is risk-neutral probabilities. In this video, I'd like to specifically illustrate, and define, what we mean by risk-neutral probabilities. I will do this in three steps. The first one is just a simple example of a coin toss, where my objective is to

From playlist Market Risk (FRM Topic 5)

Value (VaR) Mapping a fixed-income portfolio (FRM T5-05)

In this video, we walk through an actual case study of Value at Risk (VaR) mapping, specifically as it is illustrated by Phillip Jorion in Chapter 11 of his book, Value at Risk. We will take a two-bond fixed income portfolio. It's going to have a value of 200 million, and we're going to lo

From playlist Market Risk (FRM Topic 5)

Stanford CS229: Machine Learning | Summer 2019 | Lecture 13-Statistical Learning Uniform Convergence

For more information about Stanford’s Artificial Intelligence professional and graduate programs, visit: https://stanford.io/3py8nGr Anand Avati Computer Science, PhD To follow along with the course schedule and syllabus, visit: http://cs229.stanford.edu/syllabus-summer2019.html

From playlist Stanford CS229: Machine Learning Course | Summer 2019 (Anand Avati)

Dependence Uncertainty and Risk - Prof. Paul Embrechts

Abstract I will frame this talk in the context of what I refer to as the First and Second Fundamental Theorem of Quantitative Risk Management (1&2-FTQRM). An alternative subtitle for 1-FTQRM would be "Mathematical Utopia", for 2-FTQRM it would be "Wall Street Reality". I will mainly conce

From playlist Uncertainty and Risk

FinMath L3-2: Risk-neutral measures and self-financing portfolios

Welcome to Lesson 3 of Financial Mathematics (Part 2). In this second half of the lesson, we discuss important topics like self-financing portfolio, risk neutral measures and their basic properties, and the concept of arbitrage. All these tools are essential in financial mathematics, and t

From playlist Financial Mathematics

QRM L2-3: VaR and ES in R

Welcome to Quantitative Risk Management (QRM). In this lesson, we play with R to deal with VaR and ES. We show how to compute them empirically, but also in the case of normality. We then show that normality tends to underestimate tail risk, as observable in actual financial data. The pdf

From playlist Quantitative Risk Management

Lecture 7: Risk Preferences I

MIT 14.13 Psychology and Economics, Spring 2020 Instructor: Prof. Frank Schilbach View the complete course: https://ocw.mit.edu/14-13S20 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP63Z979ri_UXXk_1zrvrF77Q In this video, Prof. Schilbach describes how economics looks

From playlist MIT 14.13 Psychology and Economics, Spring 2020

QRM L2-2: Value-at-Risk and Expected Shortfall

Welcome to Quantitative Risk Management (QRM). In this video we briefly introduce VaR and ES. Please notice that many concepts are given for granted, and, in case you need more basic details, I refer you to extra videos (check the links appearing on screen). We shall see that ES is always

From playlist Quantitative Risk Management

Undiversified bond value at risk (VaR)

This illustrates the calculation of value at risk (VaR) for a two-bond portfolio.

From playlist Value at Risk (VaR): VaR Mapping

Gilles Pagès: CVaR hedging using quantization based stochastic approximation algorithm

Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b

From playlist Analysis and its Applications