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I am wondering how you created that image!!!!

It is definitely in the assigned reading. You can always look up the definition in Google. I forget the actual definition but it is something f like "the spread between a model's predicted yield versus the realized yield on a position with optionality" but this could be off. You wouldn't use...

What exactly is meant by "... on a consolidated basis... " in the below statement? "The use of stress tests and scenario analyses on a consolidated basis can test the RAF as well as help firms identify where their risk profiles are most vulnerable."

Use formula in column d (hreen) but replace column e references with 0.10.

Sorry - this has corrected cell references.

Thanks David. In your first Dowd Video for Chapter 3, at around the 3 minute 40 second mark, you mention that the ES will always exceed the VaR. (I assumed this was the case as long ast he X% VaR and X% ES are using the same X%)

Absolutely - I would suggest asking your questions here! Perhaps we could all benefit from contemporary, industry-based concerns.

Let's simplify it. Two portfolios - both with same duration but one is heavily weighted in the 30 year bond. Longer bonds have higher duration so if curve steepens in the long end, the portfolio with the larger exposure to 30 year bonds (a 30 year key rate no?) will under perform vs the other...

My gut tells me it has some gong to do with the relationship between maturity and duration but it isn't ckear yet.

On Page 231 of the GARP 2016 readings for Topic 4, it mentions the following: I am wondering if someone can help me to understand why the manager's performance outperforms or underperforms with a government bond curve flattening or steepening, respectively. Thanks.

And...... I think it just clicked. Thanks David!

If I understand correctly, increase the number of exceptions until you get to a quantile that reflects 1% significance or 99% confidence rather than 15%....say it is 15 or 20 exceptions.....then as long as your number of exceptions is below this level, you fail to reject the null. (I need to...

I see it on my phone but not on my computer - perhaps there is some kind of firewall on my work pc.....Thanks though.

Well done - very clear now. Thanks again.

@David Harper CFA FRM - did the video disappear?

Awesome - I am going to watch this many times (I suspect).

Great points @jsankaran and @ami44 ! It makes for interesting discussion! Brian

Great points Jayanthi! Thanks. As I mentioned in my original post, I probably could have thought about it a bit more - had I done so, I might have been able to present a more cogent hypothesis. My real point is the following: We are studying "risk management". In doing so, we have been...

This is really bothering me now. Meissner says, "Shorting the equity tranche means being short credit protection or selling credit protection which means receiving the equity tranche contract spread." Assume a CDO manager buys asset A. Then the CDO is long asset A since the CDO benefits from...