Why is traditional, simple VaR measurement not coherent
Why is traditional, simple VaR measurement not coherent?
Expert
The traditional, simple VaR measure is not coherent because it does not satisfy the sub-additivity condition. Sub-additivity is an evident requirement for a risk measure; or else there would be no risk benefit to adding uncorrelated new trades in a book. When you have two portfolios X and Y so then this benefit can be explained as
ρ(X) + ρ(Y) − ρ(X + Y).
State the term bootstrapping using discount factors.
You are trying to save to buy a new $150,000 Ferrari. You have $40,000 today that can be invested at your bank. The bank pays 5.5% annual interest rate on its accounts. How long will it be before you have enough to buy the car?
Explain the Modern portfolio theory.
Who introduced the concept of company’s debt associated to the strike price and the maturity of the debt?
Describe difference between international financial management and domestic financial management?
Explain Modern Portfolio.
Explain number of dimensions in Monte Carlo method.
Explain identical distributions required or not in the central limit theorem.
What is dynamically hedge?
Why cash flows and accounting profits are not considered the same thing.
18,76,764
1929417 Asked
3,689
Active Tutors
1441237
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!