What is value at risk (VaR)? FRM T1-02

My lecturer in a very expensive business school couldn’t explain that for 3 weeks... thank u so much man

Corret me if I am wrong:

With the non-parametric ES we simply average the returns that are lower than our desired percentile (e.g the lower 5% of last year's returns) - ok.

My question is, why do we use average? Isn't this bound to be affected by extremely rare but negative events? Why don't we use a weighted average? Or a median?

Many thanks<3

What's formula in the cell for VaR?

What the fuck!! Why the hell are you already giving the z score instead of calculating it for the question

Great explanation, thank you

Whats the typical var of a market portfolio like s and p 500 ?

waste explanation.

hi, shouldn't the test be two tailed?

Hi. How it would be possible to calculate the VAR for a company which holds money in a bank account? It would make sense to assess the bank financial soundness, calculating the CAP ratio e than calculating the VAR for that company? what formula might be applied for this kind of calculation? thanks!

Thanks a lot, very clear explanation for VAR.

Hello friends,
I have a few questions:
1 / Risks will be specified after we have identified the audience, objectives, and operational processes ?.
2 / Risk will be directly integrated into the business process ?.
3 / The Risk department is responsible for determining the VaR (Value at Risk) and presenting it to the Board of Directors seeing the risks and proactively preventing them?
4 / Actively preventing risks will help us improve the value of products / services to customers?

thank you

Thank you!!!!!!

Why P(L > VaR) <= 1 - c? I think it should be P(L>VaR) = 1-c

very nice video!! thank you!

Shouldn't the distribution be 2.5% each side with 95% confidence level instead of 5% on the left side?

Great instructor of our modern era!, thank you so much for simplicity and practicality

Nice explanation, clear, concise. Keep up your good work.