BFM Numericals Solved · Part 4: Risk and capital

Chapter 12: Value at risk

How much a trading position can lose on a bad day, at a stated level of confidence: for one position, for a portfolio, for bonds, and from history.

Buyers of the e-book, or of the print copy, which includes it, read the whole chapter. Everyone can read the free sample, pages 1 to 24 of the e-book.

In this chapter

• 12.1What VaR measuresp. 255
• 12.2Horizon and confidencep. 256
• 12.3Portfolio VaRp. 257
• 12.4Bond VaRp. 258
• 12.5Historical VaR and back-testingp. 259
• Four 30-second routesp. 260
• Which formula? A map of the chapterp. 261
• Exam traps and conventionsp. 262
• Practice: 30 questions in three roundsp. 263
• Answers, with every wrong option explainedp. 266
• Make it stickp. 269
• Chapter 12 on one pagep. 270

Corrections and updates

None for this chapter so far. Every correction to the book, and any rule that changes after its date, is listed on the errata page.