Basics of Value-at-Risk (VaR): Parametric, Historical, and Monte Carlo
Video Overview & Insights
Today we are revisiting the application of basic value-at-risk (VaR) market risk measurements, including parametric normal (VCV), historical simulation (HS), and Monte Carlo simulation (MCS) VaR, their assumptions and limitations, scaling properties, and Excel calculations.
Greetings from Colombia! I think the video is great, very well explained. However, almost everyone explains VaR for a single asset and not for portfolios, for example, with three assets. I think there's very little good, realistic information on how to do it. I would be extremely grateful if you could make a video about VaR for portfolios.
More User Perspectives
You can find the spreadsheets for this video and some additional materials here: https://drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
@NEDLeducationCould you please explain how would VaR calculations be affected if we used lognormal returns instead of arithmetic returns. Happy if you could direct to already existing video that covers this or explain here as per your convenience. Thanks in advance
@daisha1310Thank you for your content. If you’re open to suggestions: I’d like to see an implementation of non-constant volatility into the VaR calculation.
@0v3rfitt3dSavva! Yes, NEDL is back. So happy to see you back. The subject matter covered on your channel is the best anywhere, and the walk through videos are amazing. The only thing better than NEDL coming back, is that I see there are a bunch of new video to work through. Still hoping to see you run through a model that values a Mortgage-Backed Security like an RMBS or ABS issuance.
@pauljones9286Is your patreon still active?
@FruehVogelWELCOME BACK!!!!!!!!!!!!
@alyadorThe greatest comeback of 2025. Thank you for sharing your knowledge!
@ernestoplay1🎉🎉🎉🎉🎉🎉🎉
@davidedicataldo3204Thank you ❤
@surendrajagtap5515Hi. Could you send me a link to download the Excel? I like your tutorials, but I don't know how to get this información. Please help me!
@karllinguistik7244Hi NEDL, how would you apply these methods for a portfolio using a rolling estimation window?
@ThaddrimБыло бы здорово услышать про расширения моделей VaR, которые более применимы в банковской сфере о которых Вы упомянули в видео, особенно на примере нескольких активов, чувствительных к разным факторам риска, например портфель хотя бы из трех активов - акции, облигации и валюты:)
@deniswolf1846BTW the first lecture was on fair valuation, not VaR
@YashDiwan-w1jSava GuruJi 🙏 Welcome back
@YashDiwan-w1jWhat?! NEDL is back! 🎉 Could not be happier right now! 🥳
@mwr824Welcome back
@revgroTHE KING HAS RETURNED
@David-ii3poHi Sava! Good to see you again in channel :)
@Erdi_BayramО круто! С возвращением!👻
@deniswolf1846Made my day!
@Funky_Turnipwelcome back!!!!!!!
@TheSilentInvestor2000Shocked, thought he was gone forever
@plazmafieldWelcome back, NEDL!
@jcantonelli1Welcome back!
@geewee1geewee197He's back!!!!!!!!!!
@spikesingaporeWelcome back sir! Greetings from Brazil!
@abdinardooliveira9109Welcome back!
@jb_makesgames2264Wow! ... this is a great day for the quant finance community on youtube. Welcome back! ... I cannot resist to make some requests:
_ It would be nice if you continue the GAS models with Johnson SU series, I've got VERY CURIOUS on the continuation (application in real terms) and it's implementation in python (I've kind of managed to translate your example from excel to python, but I'm not sure if my optimisation (MLE) step is correct, since the Nelder-Mead cannot converge sometimes.
_ In the sequence of fitting flexible shape distributions, exists a new class of them, named Metalog Distribution (developed by Thomas Keelin), I think they are mathematically challenge enough to catch your interest.
_ On simulation side, you could go through the Path Shadowing Monte Carlo concept. <- This would be a great content, exists very few people talking about this interesting method(since is quite recent).
_ Copulas from the most simplistic (Gaussian, Clayton, Gumbel Frank, etc), to the most evolved (Vine Copulas) and it's applications.
_ Stuff like MCMC, Kalman filters or Particle Filters would be great as well.
_ Explore some of Marcos Lopez de Prado concepts regarding supply & demand determination.
_ Explore techniques to market regime determination (Markov Chain or Hidden Markov Chains).
_ More pratical examples on how to model options, from the European, passing by the American and Exotic ones, exploring models from Heston to something more niche like Longstaff Schwartz.
_ Implied Volatility Surface calibration, and how a retail trader can use on it's decision making, etc ...
But most importantly, I'm glad you are back, I cannot wait for what you will bring next.
WoOh that’s a monday good news ! Welcom back ! Some suggestions for next vids : pricing and calibration from observed prices for Heston/MJD/SVJ/SABR, copulas dependencies, HJM framework ahead of CIR… etc
@nicolaspatassi3877Welcome back, I am glad you returned. You should definitely do a PCA video.
@SlashnKashmirHappy to see you again man!!!
@nazarbond3161Woooo!!!!! He’s back
@wahsmailholaaaa
@resbina.ageiroWelcome back...! Looking forward to seeing more content from you.
@fartingfoxmaster7852