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Hi David, Can VaR be zero on a delta-gamma neutral portfolio? Or a delta neutral portfolio? Because we need delta is calculating it, and if it is zero does it mean VaR is zero too?

Hi David, Could you please guide me on the below: Why is C the answer? increases in r should drop the put price. 2012 exam question

Hi David, I need your help. I found this thread on diversified and undiversified VaR. How does one calculate the diversified VaR for the above question? I have the undiversified components, which are added but need to subtracted from the Var_diversified? This is a 2010 GARP practice question...

Hi David, Ok, thank you. Given the form F = S*exp[(r-L)*T]; i.e., McDonald, we also know that the Lease Rate=Storage Cost-Convenience yield. So if it's negative. then should the storage cost not be lower than the convenience yield? So why is this true: "the negative lease rate could be...

Hi David, With regard to gold futures, why do they have an increasing futures curve (contango)? When we have a positive lease rate, because would the +delta not decrease the forward price... So*exp((r-delta)T)? I am struggling to understand why the curve is upward sloping (I am a bit confused...