Actually, I have to say that I have not grasp well the core meaning and application of Value at Risk and Tail VaR yet. I think the study material in the course notes seems not to be sufficient to cope with the exam, e.g. the Q7 in paper 2, Sep. 2018 session. So, could you advise some further reading material that may help understand the concept and application of VaR and Tail VaR, for the purpose of passing the exam. Thanks a lot!
Thanks for your post. This was a challenging question, given the Core Reading on Value at Risk is limited. Parts (ii) and (v) are bookwork. In CP1 Tail Var (tested in (vi)) is only mentioned in passing in the Core Reading, whereas it used to be covered in some detail in CA1. I would advise that the solution to (iii) and (iv) are actually a good source of more information on VaR, and I don't think given the bookwork is limited I'd be suggesting that you read wider than this. There is a forum for CP1 now, so if you post future messages on that one then they will be viewed by more people. thanks Helen
