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Market Risk - FRM Part 2

This class was created by Brainscape user Srutarshi Chakrabarti. Visit their profile to learn more about the creator.

By: Srutarshi Chakrabarti
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Decks in this class (11)

Estimating Market Risk Measures
Geometric return 1,
Profit or loss 2,
Weights in expected shortfall 3
15  cards
Non-parametric Approaches
What are non parametric approaches 1,
What is bootstrap historical simu...,
Which is more precise bootstrappi...
17  cards
Parametric Approaches (II): Extreme Value
How can we manage the challenge o...,
What are the approaches we take f...,
What is the fisher tippet theorem 3
17  cards
Backtesting VaR
Backtesting 1,
Exception in var backtesting 2,
Basel committee backtesting requi...
22  cards
VaR Mapping
What is the purpose of var mapping 1,
Principles of var mapping 2,
Effect of increased risk factors ...
16  cards
Validating Bank Holding Companies' VAR Models For Market Risk
What are the components of var 1,
What are exceedances 2,
What is the problem with traditio...
18  cards
Beyond Exceedance-Based Backtesting of VaR models
What are the methods available at...,
What are the key assumption relat...,
What are the three main propertie...
25  cards
Correlation Basics: Definition, application and terminology
What is correlation risk 1,
Give examples of correlation risk...,
Categories of financial correlati...
31  cards
Empirical Properties of Correlations
How correlation levels are during...,
How correlation volatilities are ...,
What is mean reversion 3
9  cards
Financial Correlation Modelling - Bottom Up approaches
Copula correlation 1,
Copula functions 2,
Copula function 3
6  cards
Regression Hedging and Principal Component Analysis
What is dv01 1,
What are treasury inflation prote...,
What is the idea behind this kind...
15  cards

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Market Risk - FRM Part 2

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