Surplus at risk (Pension VaR)
Loading...
Loading...
9:48
Intro to Quant Finance: Value at Risk (VaR)by bionicturtledotcom66,197 views- 10:05
Marginal value at risk (marginal VaR)by bionicturtledotcom7,017 views
- 5:55
Three approaches to value at risk (VaR)by bionicturtledotcom37,171 views
- 8:47
Capital charge for VaR-based Market Riskby bionicturtledotcom4,865 views
- 7:54
Value at Risk - exampleby westofvideo15,720 views
- 6:17
Why we use log returns in financeby bionicturtledotcom17,949 views
- 6:19
Metallgesellschaft case on hedging disastersby bionicturtledotcom11,094 views
- 10:17
Capital market line (CML)by bionicturtledotcom42,933 views
- 9:47
Risk-adjusted performance ratiosby bionicturtledotcom8,741 views
- 9:30
Liquidity adjusted value at risk (LVaR)by bionicturtledotcom3,865 views
- 10:21
CreditMetrics - Part 1by bionicturtledotcom7,128 views
- 10:03
Bond convexityby bionicturtledotcom8,497 views
- 9:57
Basel II Overviewby bionicturtledotcom30,987 views
- 5:47
Black-Scholes versus Binomialby bionicturtledotcom23,392 views
- 7:29
Expected Shortfall (ES)by bionicturtledotcom8,489 views
- 5:39
Probability of default implied by spot ratesby bionicturtledotcom3,791 views
- 8:43
Parametric value at risk (VaR): Pros & Consby bionicturtledotcom16,426 views
- 5:04
Overcollateralization (O/C) in structured financeby bionicturtledotcom7,595 views
- 9:50
Intro to Quant Finance: Square root ruleby bionicturtledotcom10,913 views
Hi David,
why did you use this weird formula? or you simply wanted VaR express in a positive figure: -(mean-vol*Z)? in words you would express it as: we are 95% of our time sure that our pension portfolio loss will be no more than 18.1?
sergo1989 2 years ago