There Are Challenges In Terms Of The Measurement Of VAR For What Are Known As Nonlinear Derivatives, Where Things Like Gamma And Vega Are Important Dimensions Of The Risk. - SearchQuotes

About
Terms
Privacy
Sitemap

Get in Touch
Advertise
Removal Request
Subscribe
Contact Us

Social
Facebook
Instagram
Twitter
Pinterest

Close

Submit Quote

Latest Quotes
Browse our latest quotes

Topic List
Categorized list of quote topics

Famous Authors
Alphabetical list of influential authors

Picture Quotes
Custom and user added quotes with pictures

There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk.

John Hull

0 Likes

0 Comments

RELATED QUOTES

The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate, but on other interest rates as well.

0 Likes

Sponsored Links

The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem.

0 Likes

The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper.

0 Likes

Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends on the level of the rate. When the rate is very high, that direction is downward; when the rate is very low, it is upward.

0 Likes

Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.

0 Likes

Sponsored Links

Our research led on to other things, such as the fact that exchange rates are not lognormally distributed.

0 Likes

One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low.

0 Likes

In the interest rate area, traders have for a long time used a version of what is known as Black's model for European bond options; another version of the same model for caps and floors; and yet another version of the same model for European swap options.

0 Likes

If each of your time steps is one week long, you are not modeling the stock price terribly well over a one-week time period, because you are saying that there are only two possible outcomes.

0 Likes

I think VAR is a very healthy development within the industry.

0 Likes

Sponsored Links

I guess any simple idea that is really good will catch on quickly.

0 Likes

I didn't become interested in derivatives until 1982, 1983.

0 Likes

TRENDING

ABOUT

Terms
Privacy Policy
Removal Request
Sitemap
Contact Us

OUR GOAL

Our goal is to help you by delivering amazing quotes to bring inspiration, personal growth, love and happiness to your everyday life.

© 2024 SearchQuotes™