原创 analytical VAR

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原创：11-page summary, which not only provides you the formulas you need for FRM II examination, but also the way to deduct them. The summary covers important concepts in Chapter 31 parametric estimation approach”by Kevin Dowd. Chapter 7 portfolio risk: analytical methods; chapter 11 VaR mapping; chapter17 VAR and risk budgeting in investment management, in Value-at-risk: the new benchmark for managing financial risk by Philippe Jorion, 3rd edition. Sub-titles include:

• basics of VAR
  
• normal-delta method
  
• mapping portfolio risk
  
• marginal var
  
• portfolio management and risk budgeting
  
• monte-carlo simulation
  
  

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关键词：Analytical Analytic Analy Anal VaR investment management budgeting important concepts

tks~~~~~~~~~~~~~

thanks for sharing.