Estimating Market Risk Measures (FRM Part 2 2025 – Book 1 – Chapter 1)

Learn how to estimate market risk measures for the FRM Part 2 exam with Prof. James Forjan, PhD, CFA. We cover Value at Risk (VaR) via historical simulation and parametric approaches using normal and lognormal assumptions, Expected Shortfall (ES or CVaR), coherent risk measures such as subadditivity, homogeneity, monotonicity, and translation invariance, quantiles and QQ plots, and standard errors with confidence intervals for risk estimators, plus worked examples and exam tips. 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: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams After completing this reading you should be able to: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Estimate the expected shortfall given P/L or return data. Define coherent risk measures. Estimate risk measures by estimating quantiles. Evaluate estimators of risk measures by estimating their standard errors. Interpret QQ plots to identify the characteristics of a distribution. 0:00 Introduction 0:16 Learning Objectives 0:58 Estimating VaR using a Historical Simulation Approach 7:51 Estimating Parametric VaR 14:38 Estimating the Expected Shortfall Given P/L or Return Data 18:02 Coherent Risk Measures 20:47 Estimating Risk Measures by Estimating Quantiles 23:39 Evaluating Estimators of Risk Measures by Estimating their Standard Errors #frm #FRMPart2 #MarketRisk #ValueAtRisk #ExpectedShortfall #RiskManagement #QuantFinance #GARP #AnalystPrep #JamesForjan #QQplot #FinancialEngineering