delta-normal

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...

Learning Objectives: Explain and give examples of linear and non-linear portfolios. Describe and explain the historical simulation approach for computing VaR and ES. Describe the delta-normal approach and use it to calculate VaR for non-linear derivatives. 24.3.1 Lenny runs a...

If you are a new student to risk measurement, and especially if you are a Part 1 FRM candidate, our video is especially important because it describes a foundational idea that is applicable across asset classes. This video illustrates exactly what we mean by the delta-normal approach to value at...

Hi David, Nicole, I have question about the delta normal VAR in P1.T4. When I have a yearly expected return [E(r) year - z*(sigma year/ sqrt 250) *$] given in a question how should I translate this for e.g. to a daily expected return. I know it is somewhere in the BT material but I can't find...

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...

Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's $1.0 million bond portfolio contains...

FRM P1 > T1 > Intro to VaR (xls): Value at Risk Hello! We are uploading revised learning spreadsheets that I've been working to improve. I wanted to share some information about them. I am going to start at the beginning in this informal series. In terms of a natural sequence, the first...

I would appreciate if someone could explain in layman terms what is the Delta-normal method. Also could someone explain how the following 2 positions are equivalent: 1. A 1 year forward contract to purchase pounds for dollar 2. A combination of 3 positions: a) A short position in a US...