Скачать с ютуб Estimating Market Risk Measures (FRM Part 2 2023 – Book 1 – Chapter 1) в хорошем качестве

Estimating Market Risk Measures (FRM Part 2 2023 – Book 1 – Chapter 1)

For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams After completing this reading you should be able to: - Estimate VaR using a historical simulation approach. - Estimate VaR using a parametric approach for both normal and lognormal return distributions. - Estimate the expected shortfall given P/L or return data. - Define coherent risk measures. - Estimate risk measures by estimating quantiles. - Evaluate estimators of risk measures by estimating their standard errors. - Interpret QQ plots to identify the characteristics of a distribution. 0:00 Introduction 0:16 Learning Objectives 0:58 Estimating VaR using a Historical Simulation Approach 7:51 Estimating Parametric VaR 14:38 Estimating the Expected Shortfall Given P/L or Return Data 18:02 Coherent Risk Measures 20:47 Estimating Risk Measures by Estimating Quantiles 23:39 Evaluating Estimators of Risk Measures by Estimating their Standard Errors