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Dear reader, I am currently working on CAR and I am wondering how I can input my market risk VAR into the calculation. Essentially, my question is regarding the time horizon of CAR versus Delta normal VaR. Assuming a 1 day VaR output from the delta normal model, How does it fit into the CAR? My...

Dear readers, I watched the following video from David Harper several times and I end up with a question. I would like some explanation about the column VaR(%). It is said to come from those risk factor respective VaRs (eg. 4.5381% for the Spot FX risk factor). In my understanding these VaR...

Hi there, I am curious to have professional opinions on the following one. I noticed a lot of time through my (short) experience, that mathematical models have some basic assumptions which make the model invalid most of time (such as the iid assumption) but are still used in "real world" by...

Hi, I would like some advice on which size should be the covariance matrix which help to calculate the portfolio volatility in the delat normal VaR please. In other words, what are the on which I should think about when choosing the period on which the covariance is calculated between all those...

Thank you. That was the answer I was expecting.

Hi Nicole Thank you for your answer. You are right I did not look through the other threads. I will. Thanks.

Hi ami44 I need to thank you for your answer. It is really challenging to work when data are not there. Actually, I was hoping to validate the model both for validating my model and regulatory purposes. How do you think the model should differ depending on the target?

I post for the first time on Bionic Turtle. I never tried to pass the FRM exam but I have passed the CFA successfully. I hope to find good advice from experienced market risk analyst here. Thank you in advance. My current issue is to process a backtest on the delta normal VaR. I know that the...