Parametric VaR and CVaR (Gaussian/Normal Distribution) in Excel

Описание к видео Parametric VaR and CVaR (Gaussian/Normal Distribution) in Excel

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This is Part 2 of a 3-part series on Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR).

If you have not watched Part 1, watch it first:    • Historical Value-at-Risk (VaR) and Co...  

In this video, we will estimate the parametric VaR and CVaR, which means we have to assume a statistical distribution for the returns, in which I am using the Gaussian distribution (or Normal distribution), one of the more typically selected one.

More resources on financial modeling on www.fabianmoa.com

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