Realized Volatility vs Implied Volatility
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1. Context
In this short video from FRM Part 1 and FRM Part 2 curriculum, we differentiate between two kind of volatility measures – realized volatility and implied volatility. The details of the readings in which this topic appears are given below:
| Area | Market Risk |
| Reading | Volatility Smiles |
| Reference | John C. Hull, Chapter 20. Volatility Smiles In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). |
| Area | Valuation and Risk Models |
| Reading | Quantifying Volatility Input in VaR |
| Reference | Linda Allen, Jacob Boudoukh and Anthony Saunders, Chapter 2. Quantifying Volatility in VaR Models In Understanding Market, Credit and Operational Risk: The Value at Risk Approach, (New York: Wiley-Blackwell, 2004). |