Category: Swatches

Aggregating Individual VaRs to arrive at Firm-wide VaR

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.
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Expected Shortfall : A First Look

In this short video, we introduce this risk measure Expected Shortfall, which is defined as the probability weighted average of tail losses.
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Time Scaling of Mean and Standard Deviation of Returns

In this short video from FRM Part 1 curriculum, we explore rules of thumb for scaling mean / expected value of returns and volatility / standard deviation when the time period or horizon is changed.
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Distribution of Sum of Two Uniformly Distributed Variables

In this short video, we apply various concepts we learned from chapters in Quantitative Analysis section of FRM Part 1, to answer this question: What is the distribution of the sum of two random variables, each of which follows the uniform distribution?
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Volatility Smiles: Impact of a Single Jump

In this short video, we take a look at the impact of a single jump in the underlying stock price on the observed behavior of implied volatility vs strike profile for vanilla options traded on this stock.
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Key Rate Durations: Building a Case

In this short video, we build a case for Key Rate Durations – what they are, and for what purpose we may put them to use, specifically in this case, for estimating the percentage price impact of non-parallel shifts in interest rate term structures.
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