« Small Business Finance : Nurturing the Businessman in you With Adequate Cash
Avoid Business Opportunity Investment Financing Mistakes »

Intro to Quant Finance: Value at Risk (VaR)

bionicturtledotcom asked:


The basic approach to VaR is delta normal: a scaled standard deviation

business cash ideasflowers onlinephotography ideas

,

This entry was posted on Wednesday, April 8th, 2009, 4:03 pm and is filed under Investing. You can follow any responses to this entry through RSS 2.0. You can leave a response, or trackback from your own site.

  1. #1 by <a href='http://paintingonlinereviewsite.com'>painting ideas</a> - April 10th, 2009 at 20:12

    handbags and fashion

    Dear Mr. Harper,

    I am really a great fan of yours. I have really learned a lot from these sort of videos from you.

    Please keep uploading these, I have recommended many friends of that.

    Thanks n Regards,

    Samran Habib
    Dubai
    UAE

    alarm ideas

    Reply Quote

  2. #2 by <a href='http://tubinginformationreview.com'>tubing ideas</a> - April 12th, 2009 at 11:02

    business cash ideas

    Statistical functions are available in excel.

    alarm ideas

    Reply Quote

  3. #3 by <a href='http://cashcreatorsgold.com'>business cash ideas</a> - April 13th, 2009 at 18:20

    cosmetics ideas

    I have question. How did you draw that normal distribution graph in the excel?

    taffic ideas

    Reply Quote

  4. #4 by <a href='http://equestrianonlinereviewsite.com'>cosmetics ideas</a> - April 14th, 2009 at 11:21

    alarm ideas

    Thanks Aviad, I appreciate that.

    And I agree, I am showing the so-called absolute VaR without reference to the mean; which is sort of okay for short trading (daily or less) periods. But yours (so-called relative VaR) is just better as it is the general case and treats VaR as the unexpected loss. Thanks for making this point!

    David

    cosmetics ideas

    Reply Quote

  5. #5 by <a href='http://easternsuburbslocksmithssydney.com'>eastern suburbs locksmiths sydney</a> - April 15th, 2009 at 11:41

    business fortune ideas

    David,

    Thanks for posting these videos. I’d like to point out one oversight in this illustration. When the mean is non-zero (here, it is -0.71%), you must take it into account. So in your spreadsheet, C18 should =C14+C16*C17.

    Of course, the mean is commonly approximately zero and can be ignored, but in this example it’s worth including.

    Thanks again for posting these videos, they are useful!

    Aviad

    business fortune ideas

    Reply Quote

  6. #6 by <a href='http://cosmeticdentisteasternsuburbs.com'>cosmetic dentist eastern suburbs sydney </a> - April 17th, 2009 at 16:00

    taffic ideas

    I liked it. Very informative staff.

    business ideas

    Reply Quote

  7. #7 by <a href='http://fortunewith500gold.com'>business fortune ideas</a> - April 20th, 2009 at 20:59

    business ideas

    All righty… Now my mind is settled..
    I have burned the midnightoil here in Denmark whit thiese sort of issues the last 2 weeks.. And its great 2 watch someone else practise thiese issues, so I can see it from anohter proff.s point off wiev… So you just keep doing the fine job… :)
    Salut from DK….

    flowers online

    Reply Quote

  8. #8 by <a href='http://cosmeticsbuyingreviewsite.com'>business ideas</a> - April 23rd, 2009 at 10:44

    tubing ideas

    Hi Mahyar: History informs params but that’s all: it gives us average & volatility. But then I don’t use history, i.e., for normal (parameteric) distribution. I use only the smooth (but unrealistic) curve. A HISTORICAL SIM has NO params. For historical sim, you only need to SORT the historical return and look down the list to 95th-99th %ile, etc. You have a point, under most VaR approaches, historical series at least implicitly informs going-forward model. Thanks for viewing!

    sunglasses ideas

    Reply Quote

  9. #9 by <a href='http://easternsuburbslocksmithssydney.com'>eastern suburbs locksmiths sydney</a> - April 26th, 2009 at 21:09

    taffic ideas

    Hello mister David..
    I have difficult to differ the delta normal approach from the historical distribution..
    The pracsis you are performing in this video is much alike the historical distribution??

    Mahyar, Denmark.

    handbags and fashion

    Reply Quote

  10. #10 by <a href='http://cosmeticsbuyingreviewsite.com'>business ideas</a> - April 28th, 2009 at 02:51

    Reply Quote

  11. #11 by <a href='http://tubinginformationreview.com'>tubing ideas</a> - April 28th, 2009 at 10:10

    Reply Quote
(will not be published)
Subscribe to comments feed
  1. No trackbacks yet.