Hi
Can anyone clarify how to select the 95% VaR from historical datasets. Out of 100 losses the worst 7 are: 99$, 98$, 97$, 96$, 95$, 94$, 93$.
In this case 95% VaR is 95$ (the fifth loss) and EL if loss > VaR is 97,5$ ((99+98+97+96) /4). Is this correct, because sometimes 94$ (the 6th loss) is...
Hi David,
I would just like to let you know about a possible mistake in the question & answers PDFs.
R22.P1.T4Hull_1_9_v7.01.pdf
Problem 12.21. (page 31)
The risk free probability for futures should be (1 – d )/(u – d) and not (e^rt – d)/(u – d)
Hello David,
I found this Q&A very useful. However, could you please clarify one more thing, because I decided to use only one approach no matter if there is cont. dividend or dividend in absolute values. So, whenever there are dividends (cont. or abs. value) I can:
1. calculate the S(0) minus...
Hello
I have a question about the t-statistics and the appropriate df? Sometimes I see that the appropriate df=n-1, sometimes df=n-k-1. In both cases I am dealing with a simple regression y=a +b1X. So there is k=1, another 1 stands for the alpha. In this case df=n-2. Why is sometimes the...
Hi David,
Could you please elaborate a bit more on the solution to the question 94.1 and 94.2 of R9.P1.T2.Stock_Watson_214_223_v5 (page 60,61). Is this just a formula I need to remember or is there some logic behind?
Thanks.
Hi
I searched the internet and also the BT website for a deeper explanation of CTD bond in contrast to yields and the 6% YTM used to get the CF. I thing I am stuck with my logical inconsistency I cannot solve on my own. I completely understand that:
1. When yields on bonds are below 6% (e.g...
Hi David
I was searching for some specific forum chapters linked on following questions, but I couldn,t find them. I hope posting them here is ok. I have some additional comments about some questions in R20.P1.T4 Tuckman question set:
1. Question 26.2 (page 69 – 70)
Is there a much simpler...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.