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Thanks again for the explanation, shakti. For coherent risk measure calculation, (Chapter 3 Dowd) they say... "under ES estimation, the tail region is divided into equal probability sliced and then multiplied by the corresponding quantiles. under the more general coherent risk measure, the...

Hello, can anyone please explain the following? How is VaR NOT subadditive? To calculate portfolio VaR, we would use Portfolio mean & Portfolio standard deviation (which includes effect of correlation between each individual security in the portfolio), thus when we calculate Portfolio VaR it...

Hello David!, How is VaR NOT subadditive? To calculate portfolio VaR, we would use Portfolio mean & Portfolio standard deviation (which includes effect of correlation between each individual security in the portfolio), thus when we calculate Portfolio VaR it would always be equal or less than...

Thanks for the explanation Shakti Does it mean that returns (in %) are normally distributed, but Prices (in $) are lognormally distributed looking at the Var formula, i feel the difference between normally distributed Var & Lognormally distributed Var, is much like the difference between...

Hi, Could anyone please explain me the meaning of Lognormal Distribution, (in simple terms), and what is it actually used for? I know my doubt is silly (i have googled it several times too!), but i have failed to understand the real meaning of it as well as the meaning of "Lognormal Var" and...