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Hi, let me bother with a question about historical VaR. I want to know how to extend the calculation shown in "Intro-to-VaR.xls" for a complete portfolio with several assets (both in nominal and inflation indexed). In doing so i know i need to calculate the sumproduct for all days for all assets...

Hi David, Do you have any suggested link/reading where I can find any asset-liability-management excel model (hopefully for insurance companies)? Thanks! José Villar

Great. Thanks much David.

Hi David, Regarding poisson and exponential relationship I noticed a difference between the "2011.T2.c.-Quantitative" video, and the excel file "Rachev-distributions.xls". In the excel file the probability that a loss occurs within the next hour is 22,1%, while in the video 39,3% (for...

Hi David, How can I optimize FX risk hedge in a fixed income mutual fund facing daily money inflows/outflows? What´s the recommended structure for the currency forwards (stack and roll hedge, strip of forward contracts each with a different delivery date, etc) in order not to be exposed to...