1. O

    Normal vs lognormal VaR, Tail distribution

    Hi 1. I've recently watched a video of normal vs lognormal VaR where David explained that one of the most prominent advantages of lognormal VaR is that we cannot end with a VaR larger than the portfolio value. I have a practical question then though: if I were to calculate a VaR on my...
  2. Nicole Seaman

    YouTube T5-01: Lognormal Value at Risk

    Welcome to the first video in this new playlist that is devoted to Topic 5 in the FRM. Topic 5, Market Risk, is the first topic in Part 2. We will start here by comparing normal to lognormal VaR and, specifically, we are going to generalize to absolute VaR. Absolute VaR generalizes the relative...