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Recent content by Jhoony

1. VaR mapping commodity forwards

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...
2. BASEL 2.5 -> BASEL 3 IN NUTSHELL

Hi, great slide. On the leverage I try to remember it more as a 33 debt : 1 equity

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)
4. How dividends reduce stock price (S) in Black-Scholes

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...
5. P1.T2.80.1 Confidence Intervals

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...
6. Forecasting (prediction) error

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.
7. Interest Rate Futures - Quoted vs Settlement price

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...
8. Question around Interest Rates

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...