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    Copula functions (Meissner)

    Hi David, I am unclear on how deep we need to go to cover the GARP requirements on the Gaussian copula function (e.g. 505.3). Also, in trying to get some depth, I wanted to clarify this narrative. I am sure I have gaps in stringing it together. In terms of building blocks, I have seen a single...
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    Tuckman's three step binomial

    Hi David, In the study notes and spreadsheet pack, I am struggling to understand how prices were calculated for the 3 step binomial (tab 29,7) for 946,51 and 955,78. I get how to calculate (q) and (q-1), but this requires us to know 946,51 and 955,78 values from the earlier period. But using the...
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    covariance matrix in forward mapping

    Hi David, Probably a dumb matrix math/ covariance question on the spreadsheet pack forward tab for diversified VAR: To calculate portfolio variance, you do the following: 1. calculate the individual volatilities (matrix) 2. multiply 1. by the correlation matrix 3. multiply 2. by 1. again to...
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    Jorion Chapter 6 Question 10

    Hi David, For the Jorion question, can you provide the equation 6.3? Do we need to know this for the exam? Thanks Question 10: A bank reports 6 exceptions to its 99 percent VAR over the last year (252 days), including 4 that follow another day of exception. Compute the likelihood-ratio tests...