Increasing the Power of a VaR Backtest
In this short video, we explore the concept of power of a VaR backtest and then further, look at ways of improving the power.
Category: Market Risk
VaR Mapping of Option Positions
In this short video, we explore a basic mapping of European options (calls or puts) onto appropriate positions in underlying stock and dollar bills / zero coupon bonds.
Valuing Call Options on Bonds: Replication vs Risk-Neutral
In this short video, we explore two methods for valuing call options on bonds – risk neutral valuation and replicating portfolio approach.
Absolute vs Relative VaR
In this swatch, we differentiate between Absolute and Relative Value-at-Risk (VaR). The distinction is important from the perspective of questions posed in the exam.
Copulas: An Introduction
In this swatch, we introduce copulas – a topic that makes an appearance in FRM Part 1 curriculum and then re-appears in much more detail (along with applications) in FRM Part 2.
VaR Mapping: Forward Contracts (FRM Part 2)
In this swatch we look at the topic of VaR mapping, applied to currency forward, mapped on spot, domestic currency bond and foreign currency bond.