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Hi David, What I understand is Incremental VaR is diversified (and hence sum does not equal to total VaR) Component VaR is undiversified (and hence sum equals total VaR). Am I correct? Please clarify Thanks, Kavita

David mentions in one of the problems that marginal CVA is greater than incremental CVA. Why it is so.. I thought that incremental CVA will be large because you are adding an entire trade for CVAcalculation whereas marginal CVA is just a partial derivative.. Please clarify.. Thanks Kavita

Hi David, In P2 Focus review problem (5th of 8: operational risk), you have divided the spread 0.16 by the cost of security 72. Why is that.. I had just multiplied 72000*.5*.16 for Liquidity cost which is different from your 72000*.5*.16/72 liquidity cost Please advice. Thanks, Kavita

OK.. meanwhile please could you throw some light on testability of this topic and what should we focus on? That would be really helpful.. Malz readings are hard and time consuming.. Thanks, Kavita

Hi David, Just wanted to check with you if you are doing a video on Maltz topics on operational risk as well.. That will be really helpful.. In case you are, then I will leave the chapter for now and revisit after the video. Thanks, Kavita

Thanks Ami44.. that was most helpful.. you couldn't have been more clearer.. Regards, Kavita

Hi David, If the actual data is more standard deviations away from from the normal, then it should be thin tailed and not fat tailed? I am having trouble visualising this.. Please correct me if I am wrong.. Thanks Kavita

Yes a lot of topics still need to be loaded by David, like Chaudhary, Crouchy, current issues etc.. So lets wait for it .. Thanks Kavita

Hi Delo, Please can you provide me the link to the above video.. I am not able to open it directly.. Thanks Kavita

Thanks David, That was crustal clear.. Kavita

Hi David, In the textbook you have mentioned two formulas to calculate Liquidity VaR. You have added the liquidity component either to lognormal VaR or to geometric VaR. Please advice what is the recommended method.. Should we use lognormal VaR or geometric VaR? Thanks Kavita

Hi Brian, No I do not have the GARP books... But i did download the Kevin dowd book from internet.. I could not find the information though. May be it was a old edition. I am pretty much sticking to BT as the study material. Thanks, Kavita

Hi Brian, That helps a lot.. Thanks! Kavita

Thanks Nicole...

Hi David, apologies but I am having a hard time interpreting a QQ plot. Please can you help me with the same? How do you know the skewnss, kurtosis and fat tails looking at QQ plot Thanks, Kavita

Hi, Gregory ( chapter 12) says that CVA first increases with increase in credit spread but then dips..( table 12.1).please can you explain why does a CVA dips beyond a point? it should be a monotonically increasing function and then flatten out beyond a point. Why the decrease? Gregory ( in...

Thanks!

HI Brian, Is it really possible to invest ONLY IN idiosyncratic risk according to your question? From what I understand, everything else can be attributed to a risk factor.. From my understanding any asset can be broken into generic risk factors + idiosyncratic risk.. And more granular the...

Hi David, Jorion says : If current market value not fully allocated to risk factors, then remainder allocated to cash? Why is this is so? Is cash is a a risk factor? ( I dont suppose so).. Then why is the remainder allocated to cash? why can't this be idiosyncratic risk etc? Thanks, Kavita

Hi Brian, What do you mean by "larger samples".. do you mean sample size? Please clarify.. Thanks Kavita