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H @Esteban5185 interest question. For me, it depends what is meant exactly by "carry" as I perceive it has multiple definitions (or rather, it depends on the context). The above video is illustrated carry-roll-down: price change in the bond due solely to the passage of time, without respect to...

@Hamam please note VRM-2 includes LO: "Explain structured Monte Carlo and stress testing methods for computing VaR and identify strengths and weaknesses of each approach"

Hi @txiong We don't, I was merely illustrating with the upper bound, because the lower bound has the same margin of error. What is the point of this exercise? We have estimated a VaR, which is just a quantile of the distribution; in the case of the standard normal, N(0,1), the 95.0% VaR is 1.645...

@Rohit in a univariate regression (ie, one independent) variable, the correlation, ρ = SQRT(R^2).

Hi @jimmykaw Good catch! BTW, do you happen to know why TSS' has an apostrophe in defining Adjusted R^2; ie, why TSS' rather than just TSS (at bottom of page 126 127) ... i haven't actually read GARP's Ch 8 yet ... ? It appears that page 127 has a typo. Rather than: I think should be as...

Hi @txiong It's a function of the selected bin width, h, about which Dowd says (emphasis mine) "in addition, the quantile standard error depends on the probability density function f (.) – so the choice of density function can make a difference to our estimates – and also on the bin width h...

Hi @ivan.jarmanovic Glad you found help at https://forum.bionicturtle.com/threads/p1-t4-329-value-at-risk-var-versus-worst-case-scenarios-allen-3-3.7209/ (Thank you for searching!) Although terminologies vary, I am fond of Carol Alexander's exactness on this issue (MRA Vol 4...

Thank you @ami44 for the link, interesting. @sapozan To me, starting with Z = X - Y > 0 does not lead to a proof because if Z = X - Y > 0, then Z' = Y - X < 0, but σ^2(Z) = σ^2(Z') as variance(X-Y) = variance(Y-Z) would would appear to allow for either Y < X or X > Y if ρ(X) < ρ(X). I think...

@sapozan I assume you refer to the coherence property of monotonicity? There is prior conversation here https://forum.bionicturtle.com/threads/coherent-risk-measure-monotonicity.8214/#post-33126 But do we think (or know) that variance (or standard deviation) satisfies this monotonicity...

@Serdar7891 I realize you prefaced with "in several years," but I sure hope such a plan is not in the works: GARP should somewhat stabilize the first two parts before even thinking about a third part. I will personally be in disfavor of such a plan unless and until GARP brings more stability to...

Hi @flyingpan Right, my honest opinion is that it is too much change. GARP does not (has never) adequately incorporated the impact on EPPs. You will notice I've already starting writing questions for the fresh material (https://forum.bionicturtle.com/forums/todays-daily-questions.53/ ), as...

Hi @praveenraj In regard to finding the median (see https://en.wikipedia.org/wiki/Median ), I would suggest thinking of it as the 0.50 or 50th percentile or 50% quantile, just to be thinking in terms of quantiles (VaR is a just a quantile, but instead of 0.50 quantile which is the middle of...

Hi @Rohit Yes! My previous illustrates the forward currency contract. To map the FRA, we can think of it as simply removing the mapping to the spot exchange rate (the currency primitive): on the XLS, I recreated by literally removing that row. Then the FRA maps only to the two spot rates (i.e...

Hi @sapozan Yes, that's observant! It is excluded. Your formula is not in matrix format, but could represent a multi-asset portfolio such that we can think of the generalized (multi-asset version of your) Var = µ + σ ∗ z. The proof is not using this (which includes the drift and is called...

@bvoleg if you read any of the threads, you'll infer that we start deploying material soon and we do not give dates. We don't give dates because it creates an impossible number of communication loops, we've learned the hard way. The question "when we can expect to get 2020 materials?" is firstly...

Hi @sapozan see the below (source: Jorion VaR 3rd, https://www.amazon.com/Value-Risk-3rd-Ed-Benchmark-ebook/dp/B004MPQFTO ) Yours is a single-asset absolute VaR (absolute: includes the drift, µ) but the derivation is assumes multi-asset (ie, multiple weights) relative VaR, so per 7.17 below...

@bvoleg just curious, with the "damn" included, our would you manage a complete sentence, I'm not sure what @Amayer asked exactly? Where's the eyeroll emoticon, okay here it is: :rolleyes: i.e., what question were you about to ask, presumably without checking the above discussion? Please see...

Hi @Rohit Please see my draft XLS here (which recreates Jorion's Table 11-7; FRA mapping): https://www.dropbox.com/s/oh5i7hdpivj5szd/jorion-11-7-fra-mapping.xlsx?dl=0 ie, component VaRs, per Jorion's label, are product of PV of CF ("x") and the Marginal VaRs, which i did successfully calculate...

Hi Greg (@frenchmarmot ) I bookmarked your good question until we publish the new Time Series notes (I've already drafted them). The current note is based on 2019 assigned Deibold and I did notice notational shifts, but the models were the same ... briefly, if the only difference in GARP's new...

Hi @sauce2k I'm about to log off for the evening but have you seen this question https://forum.bionicturtle.com/threads/p2-t6-313-three-tiered-securitization-structure-cashflows-malz-9-2.7013/ which, i think maybe, is my question based on Malz 3-tier securitization. Without analyzing your...