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Hi , In Chapter 1 of Meissner, he says regarding the financial crisis "The equity tranche spread increased sharply". Is this the spread between the equity trance and its next superior tranche or the most superior tranche? Thanks

Hi @David Harper CFA FRM CIPM and @Nicole Manley , While you are in the midst of updating your materials to include new content, can you post a table of contents for items like topic reviews on their respective pages? This way it's easier to know what is missing while we wait for the updated...

Thanks for the detailed reply. Is the reason the jumps don't average out because they are stochastic and not pro-cyclical?

Hi @David Harper CFA FRM CIPM , I'd like to recommend a minor edit to the study notes on "Messages from the Academic Literature on Risk Measuring for the Trading Books". At the bottom of the excerpt on exogenous liquidity, I believe including this line from the source will help add context...

@Thomas Obitz and @ShaktiRathore great answers. Can either of you explain the later bit of the section in question? "The effects of time-varying volatility on the accuracy of simple VaR measures diminish as the time horizon lengthens. In contrast, volatility generated by stochastic jumps will...

Hi, In relation to how the convenience yield on commodity forwards complicates things, Jorion says "As a result, the risk measurement of commodity futures uses Equation (11.11) directly...". He doesn't give a description of how to map the forward to primitive risk factors. Does that statement...

Hi, When talking about correlations between spot and risk free rates in chapter 11, Jorion says "...Therefore higher values of the EUR are associated with lover EUR interest rates". This doesn't sound right to me. Am I missing something or lower a typo and it should have been higher ?

Thanks for clearing that up.

Hi, "Describe how mapping of risk factors can support stress testing". How is the method described here a stress test ? According to Jorian 11.2.2 we perform the cash flow mapping, calculating a returns VaR for each of the terms, reduce the value of the "zero" for each term by the VaR and then...

Hi David, I get that clusters of exceptions are bad, but I'm confused by table 6.2.3 in Jorian chapter 6. Can you shed some light on it? Thanks.

Hi @David Harper CFA FRM CIPM , I'd be very appreciative if you could find time to look at this one. Thanks in advance.

Hello, I'm having trouble understanding much of the content (bolded) for this AIM. Can someone explain the following ? "The first desirable attribute is unbiasedness. Specifically, we require that the VaR estimate be the x% tail. Put differently, we require that the average of the indicator...

Hello, In the example provided from Jorian in the notes on VaR mapping, the present value of the cash flow from being long the Euro spot = 125 MM = (-)(-130.09 MM USD)(0.968 USD Bill Discount Factor). Can someone explain how this is the cash flow on the Euro spot ? Thanks

Hi @Pflik, Since VaR returns =|D*| x VaR(dY) we can solve for VaR yield VaR change in yield =VaR(dP/P)/|D*| Where D* is modified duration Check out this video of David's EDIT: I forgot to include that you can calculate Yield var by doing a historic simulation on the daily yield observations...

Cool, thanks.

Hi David, There seems to be a typo in the PDS for Dowd 3,4,5,7 it gives the tail dependence coefficient as: λu=lima→1Pr[Y>F−1Y(a)∣Y>F−1X(a)]. Instead of λu=lima→1Pr[Y>F−1Y(a)∣X>F−1X(a)].

Thanks for the detailed reply, much appreciated.

Hi David, So you mean by "more responsive to large loss observations" he's referring to both the overcoming of the ghosting effect and the better weighting scheme ?

Thanks @irenab

Hi David, Dowd says that large losses receive a higher weight under age weighted HSIM than under the equally weighted HSIM. I don't understand why this is, my understanding from the notes and Google is there is no special treatment for large losses just each day that passes gets a lower weight...