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Hi Mr David Please refer to the study notes under "Revisions to the Basel II Market Risk Framework" page no 5. You have rightly mentioned that the specific risk charge is 8%, however, the last column is misleading as the Capital Charge under both the long and short positions have been...

Dear Mr David, Thanks a lot for your explanation. I try to read the original chapter / paper before I start reading BT or any other resource. Hence, the confusion occurred. Thanks again. Regards Ashok

Hi Not sure if I can mention here. If not, do apologize for the same. The Basel in its document "Review of the Principles for the Sound Management of Operational Risk" has listed 11 Principles. However in the study material...

Please add me +919819686401 Regards Ashok, India

Dear Mr David I guess there is one very trivial error in the study notes on Jorion Chapter 6 : Page 3, last para. You have mentioned A good (aka, accurate) model will produce approximately the number of expected exceptions. For example, over 250 days, a good (aka, accurate) 95.0% VaR model...

Dear Ami44, Thanks a lot for your valuable input. It will be a great help if you can find some other source for this. With best regards Ashok

Dear Mr David, I was referring to following paper by Mr Thomas J Linsmeirer and Mr Neil D Pearson. http://www.exinfm.com/training/pdfiles/valueatrisk.pdf On page 10, FX Forward VaR computation using Varcovar method is illustrated. Assuming a FX Forwards of BUY 10 million GBP and Sell 15...

Mr David, That was very very kind of you to update my spreadsheet. This spreadsheet will be an asset for not only me but whoever wants to study Monte Carlo. Its giving me message that some links are not getting updated. I will check it tomorrow as it is almost 2am in my country and seriously...

Mr David I have tried to create an excel to compute VaR using Monte Carlo Simulation (Geometric Brownian Motion). I have defined return as DRIFT + correlated ZValue * Stdev. The Zvalue is arrived at by multiplying NORMSINV(Rand()) values by the Cholesky decomposition matrix. If I use the...

Through some resource, I got following feedback – “The return on interest rates should be calculated as a simple difference between two rates. Interest rates themselves are treated as some kind of Return instead of Asset price. Hence, use of Arithmetic as well as Geometric returns in case of...

Dear emilioalzamora1 Thanks a lot for your guidance too. Regards Ashok

Dear Mr David, OMG I get so much to learn from this forum. I am sure, if I continue with BT for another few months, I shall be an enlightened person. Thanks for your valuable inputs. Those will go long in refining my whole approach towards Market Risk and overall financial risk management. I...

Hi Please add me +919819686401 Regards Ashok

Yes Mr David, Totally agree. It indeed will be cumbersome in the long run. And I tried search using key words and it does provide pretty descent results. I knew you must had given thought to this earlier too. Thanks for your response. Regards Ashok

Dear Mr David and Ms Nicole First I sincerely wish to thank both of you for the herculean task and efforts you both undertake of replying our queries. One must must must appreciate that. It's a forum where we can learn a lot and lot and in the process upgrade ourselves. As profile wise my main...

Hi everyone, Thanks a lot for your valuable feedback. This forum does indeed help persons like me to clarify so many doubts. May be I need to get my concepts clear. May I suggest that we wait for Mr David to respond on this. Thanks again Regards Ashok

Dear emilioalzamora1 If you allow, I wish to bring to your kind notice few points - (1) I have initiated this thread by quoting the overnight EURO Libors which are negative. Though pure intention of raising this thread was totally academic, however, this is actual problem we are facing. No...

Dear Mr Graves Thanks a lot for your comments. Totally Agree with you. But the problem is in my portfolio, I may be having equity as well as debt securities. If I need to construct the correlation matrix, I need to have risk factor returns. I can't have equity returns generated using log...

This formula gives something like CAGR. What if there are the intermittent returns and you need to compute the holding period returns? Anyways, I repeat my concern is computing log returns for two days e.g. suppose today's rate is 0.5% while yesterdays rate was say -0.11%. How do I compute LN(...

Thanks for your comments. I understand the formula mentioned by you gives holding period Arithemetic Returns with the holding period = 2. I have mentioned above that it is just a crude method of computing average returns. However, my main concern is computations of log returns of mixture of...