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.
Category: Market Risk
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.