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| Name | Measures of Financial Risk (FRM Part 1 2023 – Book 4 – Chapter 1) |
| Video Uploader | Video From AnalystPrep |
| Upload Date | This Video Uploaded At 30-03-2020 12:59:20 |
| Video Discription | 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/unlimited-package-for-frm-part-i-part-ii/ *AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams* After completing this reading, you should be able to: - Describe the mean-variance framework and the efficient frontier. - Explain the limitations of the mean-variance framework with respect to assumptions about return distributions. - Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR. - Define the properties of a coherent risk measure and explain the meaning of each property. - Explain why VaR is not a coherent risk measure. - Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES. - Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures. - Describe how the results of scenario analysis can be interpreted as coherent risk measures. P9V9nEGgo7E |
| Category | Education |
| Tags | frm | frm part 1 | frm videos | mean-variance framework | efficient frontier | limitations of VaR | VaR is not a coherent risk measure | Expected Shortfall | VaR and ES |
