correlation-breakdown
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P1.T4.24.4. VaR, ES, and Linear Derivatives
Learning Objectives: Describe and calculate VaR for linear derivatives. Describe the limitations of the delta-normal method. Explain the Monte Carlo simulation method for computing VaR and ES and identify its strengths and weaknesses. Describe the implications of correlation breakdown for a VaR...- Nicole Seaman
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- correlation-breakdown delta-normal linear-derivatives monte-carlo-simulation worst-case-scenario-analysis
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- Forum: FRM® Practice Questions
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P1.T4.806. Putting value at risk (VaR) to work (Allen Ch.3)
Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing...- Nicole Seaman
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- correlation-breakdown delta-normal full-revaluation monte-carlo scenario-analysis stress-testing worst-case-scenario-analysis
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- Forum: FRM® Practice Questions