Lognormal VaR: An alternative look
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1. Context
In this video from FRM Part 2, we explore this concept of lognormal VaR – we lay down the assumptions, perform a quick derivation and then solve a numerical example illustrating how lognormal VaR is calculated. Lognormal VaR is a very testable topic in FRM Exam Part 2, a common question in the Sample Papers each year. The details of the reading in which this topic appears are given below:
| Area | Market Risk |
| Reading | Estimating Market Risk Measures |
| Reference | Kevin Dowd, Chapter 3. Estimating Market Risk Measures: An Introduction and Overview In Measuring Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005). |