Estimating Market Risk Measures (FRM Part 2 2023 – Book 1 – Chapter 1)

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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