Backtesting VaR (Value at Risk)

Backtesting VaR using Normal approximation to Binomial distribution.

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Portfolio Risk using VaR
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Portfolio Risk using VaR

Backtesting VaR: Kupiec coverage test (Excel)
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Backtesting VaR: Kupiec coverage test (Excel)

Value at Risk (VaR) Backtest (FRM T5-04)
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Value at Risk (VaR) Backtest (FRM T5-04)

Chi2 test - easily explained with an example
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Chi2 test - easily explained with an example

We're 99.9% sure this pattern is true, but no one can prove it
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We're 99.9% sure this pattern is true, but no one can prove it

7. Value At Risk (VAR) Models
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7. Value At Risk (VAR) Models

This Is What 500 Days of Trump's Corruption Looks Like
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This Is What 500 Days of Trump's Corruption Looks Like

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

All About Value at Risk(VaR) | FRM Part 1 2025| Historical Simulation, Delta Normal, Monte Carlo VaR
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All About Value at Risk(VaR) | FRM Part 1 2025| Historical Simulation, Delta Normal, Monte Carlo VaR

Calculating VAR and CVAR in Excel in Under 9 Minutes
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Calculating VAR and CVAR in Excel in Under 9 Minutes

FRM: VaR model backtest
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FRM: VaR model backtest

Value-at-risk (VaR) - variance-covariance and historical simulation methods (Excel) (SUB)
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Value-at-risk (VaR) - variance-covariance and historical simulation methods (Excel) (SUB)

Backtesting Value-at-Risk: Standard coverage test (Excel)
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Backtesting Value-at-Risk: Standard coverage test (Excel)

Delta-gamma value at risk (VaR) with the Taylor Series Approximation (FRM T4-4)
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Delta-gamma value at risk (VaR) with the Taylor Series Approximation (FRM T4-4)

Value at Risk (VaR) Explained!
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Value at Risk (VaR) Explained!

Backtesting historical VaR: out of sample testing
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Backtesting historical VaR: out of sample testing

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

Monte Carlo Method: Value at Risk (VaR) In Excel
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Monte Carlo Method: Value at Risk (VaR) In Excel

Non-Parametric Approaches (FRM Part 2 2025 – Book 1 – Chapter 2)
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Non-Parametric Approaches (FRM Part 2 2025 – Book 1 – Chapter 2)

Expected Shortfall Clearly Explained | FRM Part 1 |Valuation and Risk Models Book 4
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Expected Shortfall Clearly Explained | FRM Part 1 |Valuation and Risk Models Book 4