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Oh really 25?! it seems that the sigma is a popular excuse when things go wrong! 25 for Goldman and here is the 16 for AIG. (It's the average losses and not a particular event.) So delta normal is the group of non HS approaches?! I should prepare a hierarchy of all the approaches and to include...

Thanks David, so again it's parametric ! I don't remember the bank's name but I heard once that in one of the big banks which failed or was hurt because of financial crisis, the probability of that event was 16 sigma!

I meant this is the first time I see the steps: calculating daily VaR...square 10...multiply by 3(3 to 4) ... , presented all together as a process. This was not done in earlier chapters. I like this type of step-by-step process-wise explanations. By the way, why it's multiplied by 3? how the...

Thanks for the medal! I loved them in elementary school! Going back to the 2nd q in the first post (Boudoukh hybrid approach and the Age weighted HS of Dowd Non-Parametric ch), even the Hull chapter on incorporating volatility... is the same volatility adjusted method mentioned in Dowd ch. It...

Simply if the z or t values (e.g. 1.65, 1.95) are not used in calculations, then it's non-parametric! loosely correct or totally wrong?

To be honest..it's still confusing but I guess only by practicing and reading more it would be more clear although the distinction might not be 100% as you mentioned. Can you please also comment on the second q?

The HS is included in Dowd ch3 and since the next chapter, ch 4 has the title of Non-Parametric Approaches, I concluded that HS is parametric or am I wrong? but then in BT notes of Boudoukh, page 3, in the paragraph of HS Advantages, it's mentioned that HS avoids distributional assumptions. So...

At the beginning it was confusing but now I visualize it as a normal curve which has only positive values just like the school statistics questions on weight, length, number of bad quality products and so...but definitely need to practice more questions so not to be confused again.

The question 60.2 is asking for type 1 error and 60.3 is asking for type 2 error but the formula(excel function) is the same. I'm confused, are they the same?

So the key here is whether its discrete or continuous...I have to review these samples questions again to confirm. Thanks David.

Hi DDavid, "it is merely using selected VaR quintiles to approximate the ES", in the example questions of both BT and Kaplan for coherent Risk Measures, quantiles after the Var (say after 95, that is 96, 97, 98 , 99) included and 100th excluded. It seems like a standard rule to include all...

In q 72.1 in questions sets for Coherent Risk Measures, the 100th is not included. If I understood correctly, can we say that because ES is a coherent risk measure, then we should not include the 100th?

After a second review of the materials, regarding including the worst loss, I see that Kaplan assumes the ES as part of coherent risk measures and that;s why it does not include the worst loss. By reading Kaplan/BT, I understand that ES is a coherent risk measure but BT differentiate between the...

Yeah, makes sense. Thanks David.

Would that increase ES or decrease it?

Hi David, For instance q 40.2 to 40.4 in Tuckman chapters, however, I understand the above mentioned difficulties in formatting. I'll be reading Kaplan and get back to BT later for whatever questions answered in text. Thanks,

I'm having a hard time with reading the answers whenever the spreadsheets link is provided instead of the the full answer in text & numbers format. Moreover, I really appreciate it if it was possible to use the mathematical symbols instead of words, for instance e instead of EXP. Although I...

Thanks for the points, now I have a better understanding and something to say if I was asked. People will have high expectation if I tell them that I passed the exams; I've been through this in my current career. Thanks again,

Thanks David, I'm just a little worried that some one might ask me such questions during job interviews.

Hi, In q 57.2, where it says that the bank's 10 day's 99% VaR is 1 million and actual loss exceeded the VaR in 25 out of 1000 observations, does it mean that: 1. Each of the 1000 observation is the [daily loss*10^.5] and the result of this calculation exceeded 1 million in 25 samples? 2. or...