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my man using paint. respect

@RyanOConnellCFA

2 жыл бұрын

Lol this was my first video of this style and I've since moved on to other softwares 😂

@KaraboMoremi

Жыл бұрын

This comment made my day😂😂😂 I respect bro even more now.🔥🙌🏾

Great. Thank you. Now off to my Head of Risk job interview 😂

@RyanOConnellCFA

Жыл бұрын

You got this! Lol

Super effective explanation! It should be called VaR explained in 2.5 minutes, because the explanation is so clear and to the point you can watch it at 2x!

@RyanOConnellCFA

Жыл бұрын

Hahah I love it!

Bro you made me understand something that i was trying to understand for the last 3 months with easy exemples 😅

Thanks for the explanation! Quick and effective. Useful introduction for my risk management studies

@RyanOConnellCFA

3 жыл бұрын

Glad you enjoyed it Alex! Risk management will be very valuable to learn so good luck

Thaaank you so much.The explanation was so simple and clear. I loved it !

@RyanOConnellCFA

3 ай бұрын

I'm glad to hear that!

This was really helpful. Thank you!

@RyanOConnellCFA

3 жыл бұрын

My pleasure!

Thank you this was really helpful!

@RyanOConnellCFA

2 жыл бұрын

Glad it was helpful!

I think this is a great series idea. Take some of the most difficult CFA concepts and break them down in very visual and fairly short videos. The views would be good over a long time period I’d imagine.

@RyanOConnellCFA

3 жыл бұрын

Thanks for the feedback Adam! I know this is the type of content I'd like to have come across on KZread while doing the CFA program. Are there any concepts in particular you'd like to see covered?

@collinsx62

3 жыл бұрын

Level 2 FRA would probably be a pretty popular topic.

@RyanOConnellCFA

3 жыл бұрын

@@collinsx62 I still have PTSD from Level 2 FRA! At this point I'm thinking of starting with Quant and Econ

@barackhussainobama7336

3 жыл бұрын

Triangular arbitrage would be a good video, most people get confused

@RyanOConnellCFA

3 жыл бұрын

@@barackhussainobama7336 I got a kick out of thinking Obama was studying for the CFA exams lol. I plan to do some Economics stuff in the future so I should get to triangular arbitrage down the road

Way to go right into the vid. Good info!!

@RyanOConnellCFA

2 жыл бұрын

Thanks Keenan! I know this is a topic very close to your heart

I appreciate the explanatory nature of this video but its important to note actual samples are not normal, hence the importance of skewdness and kurtosis, specifically letptokurtic distrobutions to measure fat tail risk

This is the most helpful video I've watched on this topic. What happens when you use historical data in a Monte Carlo simulation? Is it a variance of the two methods?

@RyanOConnellCFA

Жыл бұрын

Thank you Jordan! I've got an in depth video on how exactly the monte carlo method for calculating var works here: kzread.info/dash/bejne/o2qltdmwoK-YZqw.html

Awesome

well done. appreciated

@RyanOConnellCFA

5 ай бұрын

Thank you!

Awesomeness redefined

@RyanOConnellCFA

2 жыл бұрын

Much appreciated Divya!

Could you please explain how to calculate VaR for operational risk.

I'd imagine that Monte Carlo simulations is the most widely used method in industry. Which do you personally use often?

@RyanOConnellCFA

3 жыл бұрын

I'd think the same, Monte Carlo or Parametric based on a firm's data and technology. Historical Simulation is the easiest but you're making a huge (and bad) assumption that the next 100 days will be like the previous 100 days for example.

What is the Cost at risk (CaR) , and how it differs from the value at risk (VaR) ?

@RyanOConnellCFA

5 ай бұрын

Hey, I can make a video on this topic in the future. Cost at Risk (CaR) is a risk management metric similar to Value at Risk (VaR), but it specifically focuses on the potential costs associated with a risk, including direct costs, opportunity costs, and any associated loss of value. Unlike VaR, which typically estimates the maximum potential financial loss over a specific period for a given portfolio or investment at a certain confidence level, CaR encompasses a broader range of potential costs beyond mere financial loss. For example, in a project setting, CaR might consider the costs of project delays, reputational damage, or regulatory penalties, in addition to direct financial losses.

good

Great Video

@RyanOConnellCFA

6 ай бұрын

Thank you

Sir thanks for your explanation. What is rolling VaR

@RyanOConnellCFA

2 жыл бұрын

I wasn't familiar with rolling VaR before you asked. This link helped me to understand www.atoti.io/market-risk-analytics-in-python-interactive-rolling-var/

Thank you for your video. I'd like to point out that a Z-score of 2.33 gives us 98% confidence interval instead of 99% as claimed in the video. 99% would be 2.58 Z-score.

@RyanOConnellCFA

Жыл бұрын

I believe the value I showed in the video is correct for a 2 tail test. You may be looking at a 1 tail test Weixin

Thank you sir for your video. I have a question I am a finance student, and I am trying to calculate the CoVaR( Conditional value at risk) and VaR(Value at risk) using quantile regression, in order to analyze systemic risk for the banking system. So I already computed the coefficients alpha and beta for the CoVaR equation, using quantile regression in Eviews. Now i have to estimate the VaR for every bank when p=0.05 , So according to this approach, the VaR is equal to the total of quantiles computed for p=0.05 , using Rankit-cleveland definition. I should get a result that look like this, but I do not know how to do it : Descriptive Statistics for RATJ Categorized by values of RATJ Date: 11/13/17 Time: 00:57 Sample: 1/05/2010 11/03/2017 Included observations: 1956 RATJ Quant.* Obs. [-0.1, -0.05) NA 4 [-0.05, 0) -0.023874 816 [0, 0.05) 0.000000 1132 [0.05, 0.1) NA 4 All -0.017742 1956 *Quantiles computed for p=0.05, using the Rankit-cleveland definition. RATJ is the time serie for daily stock returns of the bank ATJ. Thank you so much for your time sir.

@RyanOConnellCFA

Жыл бұрын

Hello! I'm sorry but for a level of this much detail, you may want to ask on a Stackexchange forum. I also have several other videos on calculating VaR that you could check out

@Im-Assmaa

Жыл бұрын

@@RyanOConnellCFA i figuired it out and graduated a month ago haha Thanks a lot for your reply sir.

Hi, Does the parametric methods mean we know the distribution of the potential loss random variable?

@RyanOConnellCFA

Жыл бұрын

With the parametric method we should know the standard deviation. And in my experience, standard normal distribution has been assumed for exams. In real life, that assumption likely wont hold up however

Shouldn't the parametric and the monte carlo simulations give close results since they're both based on the same CAGR and St. Dev.? Makes me wonder if it's even useful to do a monte carlo simulations since it's straight up to calculate this.

@RyanOConnellCFA

5 ай бұрын

Parametric VaR and Monte Carlo simulations can indeed yield different results due to the way they handle underlying assumptions and distributions; Monte Carlo simulations provide a more detailed risk analysis by accounting for non-linearities and path dependencies that parametric VaR might overlook. While parametric VaR is quicker and simpler to calculate, Monte Carlo simulations offer a comprehensive view of potential future scenarios If you are an Excel person you can find my more deep dive analysis on both methods below: Parametric VaR: kzread.info/dash/bejne/q2h1sdt6YpvKYLA.html Monte Carlo VaR: kzread.info/dash/bejne/o2qltdmwoK-YZqw.html

Just one doubt when we need to find VaR for IRS , which component we need to take and how to find it. Could you please prepare one video on it

@RyanOConnellCFA

10 ай бұрын

Hello, just to be clear, by IRS you mean an interest rate swap right?

@Akash24729

10 ай бұрын

@@RyanOConnellCFA Yes Ryan

@RyanOConnellCFA

10 ай бұрын

@@Akash24729 I think what I'd do to find the VaR for an interest rate swap would be to run a monte carlo simulation for like 10,000 different scenarios of interest rates based on a standard normal distribution and then find the cut off for the 5th percentile worse loss as an example. You could follow a similar methodology as this video: kzread.info/dash/bejne/o2qltdmwoK-YZqw.html

@Akash24729

10 ай бұрын

@@RyanOConnellCFA thank you so much

@RyanOConnellCFA

10 ай бұрын

@@Akash24729 It's my pleasure!

Great, now I have to go watch a video to explain this video

@RyanOConnellCFA

2 жыл бұрын

Lol!

Isnt the z-score at 95% confidence interval 1,96 not 1,65?

@RyanOConnellCFA

10 ай бұрын

Hello, I believe you are confusing 1-tailed and 2-tailed tests

what if you're provided with certain number of days

@RyanOConnellCFA

2 жыл бұрын

I believe you'd multiply the annual VaR number shown in the calculation of the video by the square root of the number of days divided by 252. 252 is the approximate number of trading days in the year.

Is this two sided 95% confidence interval?

@RyanOConnellCFA

Жыл бұрын

This is a one-tailed test! The correct z-score is 1.65 for a 95% confidence interval one tailed test as shown in the video

should we use the word maximum. Maximum potential loss at x% confidence level …

@RyanOConnellCFA

2 жыл бұрын

I think you could say that. Some descriptions of VaR include the word maximum

Can we say the parametric method is just 1 scenario of the 1000 scenarios of the Monte Carlo simulation?

@RyanOConnellCFA

2 жыл бұрын

No this is not accurate. The parametric method and the Monte Carlo simulation are 2 entirely different approaches to calculating VaR

@Kig_Ama

2 жыл бұрын

@@RyanOConnellCFA Hmm if so, then I didn't understand the video.

i guess the value of z for a 95% confidence interval is 1.96?

@RyanOConnellCFA

2 жыл бұрын

Yes, that is correct! Keep in mind that it will be different for 1 tailed and 2 tailed tests

Where do we get the 1.65?

@RyanOConnellCFA

Жыл бұрын

The value of a z-score for a 95% confidence interval is 1.65 for a one tailed test

@duduchaka1108

Жыл бұрын

@@RyanOConnellCFA Thank you, how do i arrive to 1.65?

@RyanOConnellCFA

Жыл бұрын

@@duduchaka1108 If you google "1 tailed test z score table" you can look at the 95% confidence interval and you will find 1.65. It is a given that you don't need to calculate

Not complicated at all :/

You put z score in the question already!! You shouldnt have done that and make a question plz where you have to find z score and also the x i.e. Var

@RyanOConnellCFA

2 жыл бұрын

Hello Syed. Do you mean a question where you have to look in the Z-score table and find the z-score?

@syedhasanabbas3537

2 жыл бұрын

@@RyanOConnellCFA I am studying Value at Risk in Management Accounting and the question states only the mean value and standard deviation. Now they have magically put the value of Z score from somewhere I am not getting how did they calculate it. I somehow got a hang of it from confidence level % but still its vague!!

जय श्री राम🙏🙏🙏🙏🙏🙏🙏

@RyanOConnellCFA

6 ай бұрын

👍

Isn’t the 95% CI z=1.96?

@RyanOConnellCFA

3 жыл бұрын

Julio, no you are confusing this with a two-tailed test when it is in fact a 1 tailed test. The correct z-score is 1.65 for a 95% confidence interval in a VaR calculation as you can see in the link below: www.investopedia.com/articles/04/092904.asp

@stevde88

3 жыл бұрын

@@RyanOConnellCFA I actually think you are right with 1.65 since this is a one-tailed test no? 1.65 is used for confidence intervals of 90% in two-tailed tests (so 5% in each tail). So it would make sense to use 1.65 for the one tailed test no?

@RyanOConnellCFA

3 жыл бұрын

@@stevde88 Thank you for providing me with some redemption on this video! Haha. I just confirmed that the 1.65 in the video is correct as you described