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  1. M

    P2.T9. Risk Management & Investment Management: Jorion, Chapter 17: VaR and Risk Budgeting

    Hello @David Harper CFA FRM . Can you please explain how did you calculate weights for maximizing portfolio information ratio i,e 55%, 37% and 8% respectively in the example given on page 37 of Jorion, Chapter 17: VaR and Risk Budgeting. As per the formula provided before the example, we are...
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    P2.T8. Liquidity and Treasury Risk Measurement and Management

    @David Harper CFA FRM Hello David. I am unable to understand the calculation of required amount of stable funding in example on page 14. Further, the asset side does not equal to 100. Can you please explain the question ? or is the question incomplete.
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    T9. R63. P2: Describe the challenges associated with VaR measurement as portfolio size increases.

    @David Harper CFA FRM Hey David. I am having difficultly in understanding the formula for calculating the Covariance of Assets with the Portfolio i.e. Cov(i,p). As per your example in the study notes, you have shown the formula for COV(euro, portfolio) which is confusing. What if the...