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Hello David, I have a clarification on the implication of spectral risk measure. What does it convey? Since we are taking weighted average of of quantiles (weights being calculated as per Dowd's formula' or assigned according to discretion), should I understand the spectral risk measure as the...

1 caveat about the above screenshots is that the graph for equity tranche is showing the value where for other 2 tranches its about losses. Simply put, in the graph of equity y axis is the value but for mezzanine and senior the y axis is loss.

Hi Stuti, Here goes the derivation; Let; p = Portfolio Value standard deviation of portfolio (Rp) = s.d Marginal Var = Var(p) /p * cov(i,p)/variance of Portfolio = z* s.d * p/p * cov(i,p)/(s.d)^2 striking off the common terms; the final...

Thanks for your reply David.

Hello David, Can you please explain why the Implied volatility of calls is different from puts in real markets. As per Hull, the IV of call and puts have to be same. But when I look into actual markets, the data is otherwise. I tried to google around, but could not find a convincing answer...