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Dear Mr David Kevin Dowd in his book Measuring Market Risk (2nd Edition) has mentioned the advantages of using the Geometric returns over Arithmetic returns (3rd chapter). In fact I always quote following example – Suppose an asset was trading at the prices as given below – May 15, 2017 - $50...

D Dear Ms Nicole and Mr David, Thanks a lot for this honor. I will like to accrue it for future use i.e. may be purchase of BT package in future. Regards Ashok

Dear Mr David and emilioalzamora1 Thanks a lot for your great guidance. It's true I am being greatly influenced by Kevin Dowd :). This forum helps to refine and polish our knowledge. Thanks once again. With best regards Ashok

Hi I am not sure if this will in any way help. Please refer to the attached excel for understanding why (n-1) and not 'n'. Assumptions : Assuming losses follow Normal distribution with Mean '0' and Standard Deviation =1 and we are computing 95% VaR. Hence, in Excel, you can compute VaR@95%...

Dear Berrumucho, Thanks a lot for the link. Technical document is really a worth reading at least a couple of times. It was very useful. Thanks again Regards Ashok

Dear berrymucho, Thanks a lot for this valuable input. Now I have some clarity about the whole stuff. As regards point no (2), yes I use CRAN R extensively and will definitely go through the package MVN. Heartfelt thanks again. Regards Ashok

Hello Mr David, I do understand the Historical Simulation as well as Var covar method, Especially in VaR Covar mapping of multiple positions into standardized risk factors as well as application of EWMA etc also I am aware. But when it comes to Monte Carlo, I am always confused. (1) I remember...

Dear Mr David, Thanks a lot for an elaborate reply. Appreciate the same and your this helping nature make us feel very very connected to Bionic turtle. Thanks again Regards Ashok

Mr David This link is broken http://www.bionicturtle.com/how-to/spreadsheet/5.d.2._gaussian_copula Regards Ashok

Dear Mr David, Are these links available? http://www.bionicturtle.com/learn/article/tracking_error_7_min_video_foundation/ http://www.bionicturtle.com/premium/spreadsheet/1.a.7._simulation_tracking_error_sortino/ http://sheet.zoho.com/public/btzoho/trackingerror-v1 Regards Ashok

Dear Mr David, I was trying to understand the excel 0423-cholesky.xlsx. If possible, can you please clarify my following doubts please. Suppose as given in excel, we have 5 risk factors. Assuming we have (say) 251 trading days and hence 250 daily returns. For each of these 5 risk factor...

Dear Mr David Thanks a lot for your great help. As usual very very informative and useful excels. Regards Ashok

Dear Mr David, Where can I get the following excels? http://www.bionicturtle.com/how-to/spreadsheet/p1.t4.a-xls-bundle and https://www.dropbox.com/s/wb3o7f667v9g4be/8.b.2_Jorion_analytical_VaR_v2.xls Unfortunately both links are not working. I am trying to learn VaR computation using Monte...

Thanks a lot Mr David. Regards Ashok

Mr David, Seems this link http://www.bionicturtle.com/how-to/question/market-risk-tuckman-chapters-6-7-9-21-l2.t5/ is missing. Please do the needful. Regards Ashok

Thanks Ms Nicole Regards Ashok

Mr David Even this link (http://www.bionicturtle.com/how-to/article/2012.p2.t5.-focus-review-1st-of-8/) is also missing. Regards Ashok

Mr David, This link (http://www.bionicturtle.com/how-to/spreadsheet/2012.5.b.3.-key-rate-shift) is missing. Where can I find it? Ashok

Dear Mr David, Thanks a lot for this very very informative and prompt reply. Helped a lot to clarify few basic things. Regards Ashok