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: [ Ссылка ]
*AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams*
After completing this reading, you should be able to:
- Explain and give examples of linear and non-linear derivatives.
- Describe and calculate VaR for linear derivatives.
- Describe and explain the historical simulation approach for computing VaR and ES.
- Describe the delta-normal approach for calculating VaR for non-linear derivatives.
- Describe the limitations of the delta-normal method.
- Explain the full revaluation method for computing VaR.
- Compare delta-normal and full revaluation approaches for computing VaR.
- Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing VaR, and identify strengths and weaknesses of each approach.
- Describe the implications of correlation breakdown for scenario analysis.
- Describe Worst-Case Scenario (WCS) analysis and compare WCS to VaR.
![](https://i.ytimg.com/vi/yDoaVoLsMNk/maxresdefault.jpg)