Margin Call Movie and Var Value at Risk Explained
Broken Pie Chart · Broken Pie Chart
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Show Notes
2011 saw the release of Margin Call, a movie staring Kevin Spacey, Jeremy Irons, Demi Moore, Stanley Tucci and more. A very strong acting performance from the whole cast. But what was the problem they pointed to with their (Var) or Value at Risk Formula? What did the junior analysts figure out that the firm did not? Margin call was focused around 24 hours at an investment bank on the verge of a problem with their mortgage backed assets. Learn about another good finance movie plus an explanation of the (Var) Value at Risk theory and its good and bad.
What is VAR?
What is Value at Risk formula?
What type of data does VAR utilize?
Speculation on what investment bank Margin Call Movie is based on
Volatility based risk estimates
95% and 99% confidence levels and VAR
Simplified explanation of probability and confidence levels
Discussion on historical data and normal distribution to predict future returns
Implied Volatility to show expected single and multiple standard deviation moves
Implied volatility around earnings releases for momentum stocks like Netflix or Tesla
Mentioned in this Episode:
Credit Default Swaps explained through the Big Short Movie https://podcasts.apple.com/us/podcast/the-big-short-movie-credit-default-swaps-explained/id1432836154?i=1000465683509
Contact Derek www.razorwealth.com
Derek Moore's book Broken Pie Chart https://www.amazon.com/Broken-Pie-Chart-Investment-Portfolio/dp/1787435547/ref=sr_1_1?keywords=broken+pie+chart&qid=1558722226&s=books&sr=1-1-catcorr