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Hi David, I would like to ask if you could recommend me a software which can simulate various distributions, given its parameters. I know you're very busy, given the amount of traffic Bionic Turtle gets daily. Your reply would be very much appreciated. Thanks!

If it said short put. I am wrong here then.

Oh yeah. Did not notice that.

I think VaR is the answer here. Let's not overanalyze the question. It clearly says a coherent risk measure and easy to understand. I read in schweser that ES is not easy to understand, but VaR is. And also, even if VaR is only a coherent risk measure for normal dist, it is still a coherent risk...

I felt that there's no such thing as negative correl to tail risk. Since tail risk cannot be diversified away, correlation does not matter. I answered the put (i might be mistaken tho this might have said call. If that's the case, im wrong) options as a hedge to tail risk.

It was 9 days because the formula goes: min(liq dur stock a, liq dur stock b). I think you added their liquidity durations that's why you arrived at 12 days.

Exam was not easy but it was also not difficult. It felt like you could pass the exam, but still had a small hunch that you might fail. But generally it felt okay. I finished 1h before the time ended. It came as more quantitative than expected. Therefore, as long as you remember the formula or...

@shady For the BSM, i just remembered one of the requirements of BSM is the constant variance. I might be wrong tho. But yeah, these are one of the trickier questions. If you saw it in the readings, performance based pay the answer. I just remembered answering something in qbank about gov't...

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oh.. reread it like three times and now i think i understand. the stickyness rules are not internally consistent. It is only consistent when the volatility smile is flat. he is just saying here that it is only consistent when the smile is flat.. but this also means that these stickyness...

bump! he's right. its confusing