Comments on: Intro to Quant Finance: Value at Risk (VaR) http://unloadandlock.com/intro-to-quant-finance-value-at-risk-var Unlock Your Financial Potential Wed, 08 Feb 2012 15:09:40 +0000 http://wordpress.org/?v=2.7.1 hourly 1 By: <a href='http://tubinginformationreview.com'>tubing ideas</a> http://unloadandlock.com/intro-to-quant-finance-value-at-risk-var/comment-page-1#comment-430 tubing ideas Tue, 28 Apr 2009 10:10:09 +0000 http://unloadandlock.com/?p=197#comment-430 <a href=""><a href='http://hanbagfashionreviewnews.com'>handbags and fashion</a></a> Nice brow... <a href=""><a href='http://equestrianonlinereviewsite.com'>cosmetics ideas</a></a> handbags and fashion

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]]> By: <a href='http://easternsuburbslocksmithssydney.com'>eastern suburbs locksmiths sydney</a> http://unloadandlock.com/intro-to-quant-finance-value-at-risk-var/comment-page-1#comment-428 eastern suburbs locksmiths sydney Sun, 26 Apr 2009 21:09:51 +0000 http://unloadandlock.com/?p=197#comment-428 <a href=""><a href='http://traffictacticgold.com'>taffic ideas</a></a> Hello mister David.. I have difficult to differ the delta normal approach from the historical distribution.. The pracsis you are performing in this video is much alike the historical distribution?? Mahyar, Denmark. <a href=""><a href='http://hanbagfashionreviewnews.com'>handbags and fashion</a></a> taffic ideas

Hello mister David..
I have difficult to differ the delta normal approach from the historical distribution..
The pracsis you are performing in this video is much alike the historical distribution??

Mahyar, Denmark.

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]]> By: <a href='http://cosmeticsbuyingreviewsite.com'>business ideas</a> http://unloadandlock.com/intro-to-quant-finance-value-at-risk-var/comment-page-1#comment-427 business ideas Thu, 23 Apr 2009 10:44:07 +0000 http://unloadandlock.com/?p=197#comment-427 <a href=""><a href='http://tubinginformationreview.com'>tubing ideas</a></a> Hi Mahyar: History informs params but that's all: it gives us average & volatility. But then I don't use history, i.e., for normal (parameteric) distribution. I use only the smooth (but unrealistic) curve. A HISTORICAL SIM has NO params. For historical sim, you only need to SORT the historical return and look down the list to 95th-99th %ile, etc. You have a point, under most VaR approaches, historical series at least implicitly informs going-forward model. Thanks for viewing! <a href=""><a href='http://sunglassesbestonlinereviewcentral.com'>sunglasses ideas</a></a> tubing ideas

Hi Mahyar: History informs params but that’s all: it gives us average & volatility. But then I don’t use history, i.e., for normal (parameteric) distribution. I use only the smooth (but unrealistic) curve. A HISTORICAL SIM has NO params. For historical sim, you only need to SORT the historical return and look down the list to 95th-99th %ile, etc. You have a point, under most VaR approaches, historical series at least implicitly informs going-forward model. Thanks for viewing!

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All righty… Now my mind is settled..
I have burned the midnightoil here in Denmark whit thiese sort of issues the last 2 weeks.. And its great 2 watch someone else practise thiese issues, so I can see it from anohter proff.s point off wiev… So you just keep doing the fine job… :)
Salut from DK….

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]]> By: <a href='http://easternsuburbslocksmithssydney.com'>eastern suburbs locksmiths sydney</a> http://unloadandlock.com/intro-to-quant-finance-value-at-risk-var/comment-page-1#comment-424 eastern suburbs locksmiths sydney Wed, 15 Apr 2009 11:41:59 +0000 http://unloadandlock.com/?p=197#comment-424 <a href=""><a href='http://fortunewith500gold.com'>business fortune ideas</a></a> David, Thanks for posting these videos. I'd like to point out one oversight in this illustration. When the mean is non-zero (here, it is -0.71%), you must take it into account. So in your spreadsheet, C18 should =C14+C16*C17. Of course, the mean is commonly approximately zero and can be ignored, but in this example it's worth including. Thanks again for posting these videos, they are useful! Aviad <a href=""><a href='http://fortunewith500gold.com'>business fortune ideas</a></a> business fortune ideas

David,

Thanks for posting these videos. I’d like to point out one oversight in this illustration. When the mean is non-zero (here, it is -0.71%), you must take it into account. So in your spreadsheet, C18 should =C14+C16*C17.

Of course, the mean is commonly approximately zero and can be ignored, but in this example it’s worth including.

Thanks again for posting these videos, they are useful!

Aviad

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]]> By: <a href='http://equestrianonlinereviewsite.com'>cosmetics ideas</a> http://unloadandlock.com/intro-to-quant-finance-value-at-risk-var/comment-page-1#comment-423 cosmetics ideas Tue, 14 Apr 2009 11:21:26 +0000 http://unloadandlock.com/?p=197#comment-423 <a href=""><a href='http://alarmlatestonlinereviewinfo.com'>alarm ideas</a></a> Thanks Aviad, I appreciate that. And I agree, I am showing the so-called absolute VaR without reference to the mean; which is sort of okay for short trading (daily or less) periods. But yours (so-called relative VaR) is just better as it is the general case and treats VaR as the unexpected loss. Thanks for making this point! David <a href=""><a href='http://equestrianonlinereviewsite.com'>cosmetics ideas</a></a> alarm ideas

Thanks Aviad, I appreciate that.

And I agree, I am showing the so-called absolute VaR without reference to the mean; which is sort of okay for short trading (daily or less) periods. But yours (so-called relative VaR) is just better as it is the general case and treats VaR as the unexpected loss. Thanks for making this point!

David

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