Step-by-Step Portfolio Std Dev and VaR Calculations | Value at Risk

Darwinex
Darwinex
4.5 هزار بار بازدید - 3 سال پیش - Calculating the Value at Risk
Calculating the Value at Risk (VaR) for two positions requires the calculation of the 'Portfolio Standard Deviation', and in turn, this requires the calculation of the correlation coefficient between positions. This episode explains the full formula and also considers different correlation values as examples to aid understanding. Understanding the calculation using two positions is a critical step before moving on to look at full portfolio risk management techniques, which can have a dramatic effect on trading. Brought to you by Darwinex: UK FCA Regulated Broker, Asset Manager & Trader Exchange where Traders can legally attract Investor Capital and charge Performance Fees: www.darwinex.com/?utm_source=youtube&utm_medium=vi… Follow Darwinex on LinkedIn: www.linkedin.com/company/tradeslide-ventures/ #ValueAtRisk, #VaR, #TwoAssets, #TwoPositions, #Correlation, #CorrelationCoefficient, #Pearson, #R, #PortfolioStandardDeviation, #Risk, #Volatility, #PortfolioRiskManagement, #MartynTinsley, #Darwinex This is Episode 12 in the Darwinex 'Institutional-Grade Risk Management Techniques' Playlist:    • Institutional-Grade Risk Management T...   Video Contents: 00:00 Calculating VaR for 2 Assets 00:24 Why Darwinex? 01:13 Portfolio Std Dev and Correlation 01:33 Benefits of Portfolio Risk Management 03:24 Value at Risk Calculations 05:48 Portfolio Standard Deviation Calculation 08:23 Impact of Correlation on Std Dev 10:57 Summary and Next Episodes Content Disclaimer: Past performance is not a reliable indicator of future results. The contents of this video (and all other videos by the presenter) are for educational purposes only and are not to be construed as financial and/or investment advice. Risk disclosure: www.darwinex.com/legal/risk-disclaimer
3 سال پیش در تاریخ 1400/12/11 منتشر شده است.
4,581 بـار بازدید شده
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