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    Backtesting Exceptions

    Hi David, Generally in 95% VaR, it is said that it can cause 5% exceptions say in 252 tests ~12.6 or 13. Normally we take 1.65 normal deviate and check it out. In the calculations in Jorion table 6.2 calculates this using the scheme to be less than 20. The number is actually 19.4. 1. why is...
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    Volatility Practice Webinar Spreadsheet

    Hi David, I was reviewing material on your site, in particular the link http://www.bionicturtle.com/learn/article/volatility_practice_webinar/. What I am noticing, in the spread sheet there in cell D30 uses ln(760/740) for daily volatility. However, the Hulls book says that it is...
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