VaR with Multiple Risk Factors
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1. Context
In this video from FRM Part 2 curriculum, we take a look at how VaR can be calculated for a position / portfolio that is exposed to multiple risk factors. Owing to the assumptions this model makes, it can be thought of as the delta normal method when there are multiple risk factors. This video is included in the FRM Part 2 preparation course. The details of the reading in which this topic appears are given below:
| Area | Investment Management |
| Reading | Portfolio Risk |
| Reference | Chapter 7. Portfolio Risk: Analytical Methods In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw-Hill, 2007). |