Value (VaR) Mapping a fixed-income portfolio (FRM T5-05)
11.5 هزار بار بازدید -
5 سال پیش
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In this video, we walk
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 look at VaR mapping under three different approaches. That mapping means that we'll take the value of the portfolio and we'll map it to one primitive risk factor or, in the more sophisticated case, five primitive risk factors. This will be a simplification exercise so that we can take in theory what is a complex portfolio and replace it, or map it to, a limited set of simple risk factors. Then we can shock or stress the risk factors as a means of estimating the risk of the portfolio.
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Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see https://www.123rf.com/license.php); we also use free and purchased images from our account at canva.com (see https://about.canva.com/license-agree.... In particular, the new thumbnails are generated in canva.com. Please contact [email protected] or [email protected] if you have any questions, issues or concerns.
💡 Discuss this video in our forum: https://trtl.bz/2PQS6dQ
📗 Find Jorion's book here: https://amzn.to/34z09QN
👉 Subscribe here bionicturtl..
to be notified of future tutorials on expert finance and data science, including the Financial Risk Manager (FRM), the Chartered Financial Analyst (CFA), and R Programming!
❓ If you have questions or want to discuss this video further, please visit our support forum (which has over 50,000 members) located at http://bionicturtle.com/forum
🐢 You can also register as a member of our site (for free!) at https://www.bionicturtle.com/register/
📧 Our email contact is [email protected] (I can also be personally reached at [email protected])
For other videos in our Financial Risk Manager (FRM) series, visit these playlists:
Texas Instruments BA II+ Calculator
Texas Instruments BA II+ Calculator
Risk Foundations (FRM Topic 1)
Risk Foundations (FRM Topic 1)
Quantitative Analysis (FRM Topic 2)
Quantitative Analysis (FRM Topic 2)
Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
Financial Markets and Products: Intro...
Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
Financial Markets and Products: Optio...
FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
FM&P: Intro to Derivatives: Exotic op...
Valuation and RIsk Models (FRM Topic 4)
Valuation and RIsk Models (FRM Topic 4)
Market Risk (FRM Topic 5)
Market Risk (FRM Topic 5)
Coming Soon ....
Credit Risk (FRM Topic 6)
Operational Risk (FRM Topic 7)
Investment Risk (FRM Topic 8)
Current Issues (FRM Topic 9)
For videos in our Chartered Financial Analyst (CFA) series, visit these playlists:
Chartered Financial Analyst (CFA) Level 1 Volume 1
Level 1 Chartered Financial Analyst (...
#bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance
Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see https://www.123rf.com/license.php); we also use free and purchased images from our account at canva.com (see https://about.canva.com/license-agree.... In particular, the new thumbnails are generated in canva.com. Please contact [email protected] or [email protected] if you have any questions, issues or concerns.
5 سال پیش
در تاریخ 1398/07/24 منتشر شده
است.
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