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HI David, I dont know why but I am really confused about how to calculate CVAR. I read that CVAR is the total loss net of expected loss. Does that mean CVAR = Total loss-expected loss? or CVAR is unexpected loss..? How do we calculate CVAR. Thank, Kavita

HI David, 1. If I have two portfolios : P1 with ES = ES1 at 95% confidance interval and P2 with ES = ES2 at 99% confidance interval. How do we calculate the total Expected shortfall for the two portfolios.. Shall we convert 99% ES2 to 95% ( divide by 2.33 and multiply by 1.645) and add to...

Thanks David.. they just dont seem to make anything easy for us.. do they?:( Regards, Kavita

Hi David, Information ratio = Alpha / volatility of tracking error. Jorion defines tracking error as active return -benchmark return But that is not how bodie defines it. Am I right?? Kavita

Hi David, Do you plan to post the question set for Grinold? Thanks, Kavita

Thanks everyone...that is a relief at least at this hour for me.. Regards, Kavita

Hello everyone , for BASEL, GARP has specified two types of readings: compulsary optional what is the purpose of optional readings? are they not going to be tested? are they only for knowledge purpose?What is your strategy to deal with this.? Please advice. Thanks, Kavita

One more question..Why is recovery not part of replacement cost? Say my contract has an MTM of 400 USD with 25.¡.% recovery??? the Counterparty defaults.. Then my replacement cost will be 400 USD or 300. USD? Is it 400USD because the recovery is uncertain due to bankruptcy and time taken to...

Is CVA larger or smaller for upward sloping credit curve.. And why... Hi David Please can you help me with this question.. Thanks Kavita

Yes I thought so too..just wanted confirmation.. So basically collateral is subjected to both funding and liquidity risk.. Can you please tell me how does a collateral INCREASE exposure..? That is little counterintuitive to me.. Any example ?? Thanks Kavita

Thanks everyone for making it so clear... Regards, Kavita

Hi David, Please can you explain how does funding liquidity risk play a role with collaterals.. You have mentioned a paragraph on page 43 in Chapter 5 of Gregory about this. Thanks Kavita

Thanks David

In other words risky debt is just face value of debt. But risk free debt is Ke(-rt) is is present value of debt which we are calling risk free debt? Thanks Kavita

Hello everyone, I had thought that I had sorted it out, but today I was reading the Merton model again but am completely lost with the difference between risky debt and risk free debt. Please can someone redefine it Risky debt = riskfree debt-put option.. Please explain risky and risk free...

Hi David, I am little confused with the exposure calculation for an option. 1. If I buy a call with a strike of 100 and my underlying is 110 at maturity, it should mean that my exposure is 10 right.. And if I have bought a put with a strike of 100 and the underlying is at 90 at maturity, my...

Yes.. That is the question I was referring to.. Thanks David for clarification Regards, Kavita

Hi David, Please can you explain me concordant and discordant values in English..? I mean how to look for those values.. In the meisener reading you have represented it mathematically and I am not able to understand that. Thanks Kavita

Thanks Quantman.. I need some more time to digest this though.. Regards, Kavita

Hi David, What I understand is that you have computer the liquidity cost for 1000 shares.. (72000*.5*.16/72) But I was calculating liquidity cost for the entire position value AND NOT for 1000 UNITS OF SHARE = 72000*.5*.16. I think the liquidity cost should be on units of share.. so it...