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Thank you. I am in complete agreement about how to define relative SaR and shortfall. The part that just seems strange is saying"Absolute SaR" and "shortfall" are equal. Is this what you are referring to when you say the nomenclature is not terribly well defined? Everything else makes...

Hello, Is there an error in Jorion's Surplus at Risk calculation on p 433, or possibly just an error with his vocabulary? I see that in the spreadsheet you interpret his "surplus volatility" as "asset volatility" and then assume there is no volatility in the libilities. Also, in the video...

Interestimg. Thank you. Shannon

Hello, This may be a really dumb question, so I aplogize in advance if it is, but how can changing the size of a position change the Beta of an asset? I am referring to Ch 7 in Jorion where he states that at the golable minimum VaR, all positions have the same Beta. This seems completely...

Very interesting. It is as if component VaR is static while incremental VaR is dynamic, if that makes sense. In other words, component VaR deals only with the portfolio we currently have, while incremental VaR compares two different portfolios. When there are not many assets, these two...

Thank you. I do not wish to take up any more of your time as you have already been so generous in looking at my questions, but I believe you were adding individual VaRs, where my question concerned INCRIMENTAL VaRs, specifically, full revaluation incremental VaRs. I believe the math you did...

You do go over it in the other video, but you show how comp VaR is actually an approximation for incremental VaR (using marginal VaR, kind of like the delta normal appx or mod duration*delta y), not the other way around. And that it only really works, as you said, when there are many positions...

I completely understand. If it could somehow be in the videos, that would be great. Also (Moving on to Jorion), I noticed that you said the component VaRs, by construction, add up to the total VaR. Isn't this just an approximation because component VaR is really an approximation? Wouldn't...

Hello, I just watched the video for ch 14 for Grinold and there were a few things that stumped me. For instance, at one point you said that if the benchmark really over-performs, then the active return will be high. But the formula says that active return=portfolio return-benchmark return...