Category: Investment Management

In this video, we understand what Undiversified VaR means, how to calculate it, and why it represents a worst-case, no-diversification measure of portfolio risk. A practical explanation for FRM Part 2 candidates.

In this video from FRM Part 2 curriculum (Book 5, Investment Risk), we go through a solved example that helps review the definition, the formula and application of three types of VaR: Marginal VaR, Incremental VaR and Component VaR.

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.

In this video from FRM Part 2, we explore this concept of Marginal VaR – a portfolio risk tool that helps us perform linear approximations for changes in VaR and realize risk-return tradeoffs.

In this short video from FRM Part 2, we understand the Euler’s theorem and it’s application to risk measures and their allocation to various risk factors / components / sub-portfolios.

In this short video from the FRM Part 2 curriculum, we explore the formula for aggregating VaRs computed for each business line or division to arrive at the firm-wide VaR at the same confidence level and horizon.