When we specify something like a 95% value at risk or 95% VaR, we mean that 95% is the confidence level and, therefore, 5% is the significance level. That means we expect on 5% of days for the actual loss to be worse than the VaR or to exceed the VaR. This video is about the backtest of a VaR, which is a very handy statistical tool that we have at our disposal to backtest or to test the validity of this model. The backtest will allow us to make a decision as to whether to accept this as a good VaR model or to reject it as a var model.

💡 Discuss this video here in our FRM forum: [ Ссылка ]

👉 Subscribe here [ Ссылка ]...
to be notified of future tutorials on expert finance and data science, including the Financial Risk Manager (FRM), the Chartered Financial Analyst (CFA), and R Programming!

❓ If you have questions or want to discuss this video further, please visit our support forum (which has over 50,000 members) located at [ Ссылка ]

🐢 You can also register as a member of our site (for free!) at [ Ссылка ]

📧 Our email contact is support@bionicturtle.com (I can also be personally reached at davidh@bionicturtle.com)

For other videos in our Financial Risk Manager (FRM) series, visit these playlists:

Texas Instruments BA II+ Calculator
[ Ссылка ]

Risk Foundations (FRM Topic 1)
[ Ссылка ]

Quantitative Analysis (FRM Topic 2)
[ Ссылка ]

Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
[ Ссылка ]

Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
[ Ссылка ]

FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
[ Ссылка ]

Valuation and Risk Models (FRM Topic 4)
[ Ссылка ]

Market Risk (FRM Topic 5)
[ Ссылка ]_

Coming Soon ....
Credit Risk (FRM Topic 6)
Operational Risk (FRM Topic 7)
Investment Risk (FRM Topic 8)
Current Issues (FRM Topic 9)

For videos in our Chartered Financial Analyst (CFA) series, visit these playlists:

Chartered Financial Analyst (CFA) Level 1 Volume 1
[ Ссылка ]

#bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance

Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see [ Ссылка ]); we also use free and purchased images from our account at canva.com (see [ Ссылка ]). In particular, the new thumbnails are generated in canva.com. Please contact support@bionicturtle.com or davidh@bionicturtle.com if you have any questions, issues or concerns.

свернуть