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If I use Black Scholes with two different "d" terms I will get two different answers. In spreadsheet 6c1, even whe you say you are using the "Stulz method" you are not using the "d" that you use in your notes. My whole point is: when do we use the Stulz expression for "d"? You never seem to...

Hello, I am looking over the notes and in De Serv Ch 3. The k (or d) in the version of the Merton Model you show on slide 9 of video 6c does not appear at all in the chapter. I believe this is also the version that you have in the notes. I am looking at p 66 of the de Serv chapter. I believe...

Sorry about that. I will look through some of the old questions tonight and hopefully find it. My numbers were completely made up, it was just the fact that the future price was discounted that made it different than the other problems. By constant spot rate, I just meant that interest rates...

Hello, I appologize in advance for the vague questions, but I remember at some point doing a problem (I think it was from the market risk section) from part 2 where the rate of return was computed differently than most problems I have seen. It made perfect intuitive sense, but I was hoping you...

That was extremely helpful. Thanks! Shannon

Great points. The only reason that I brought up the approximation, is that in the case where the change is small (say 1 asset from a portfolio of 100) then the incremental would be very close to the component. Again using Jorion's 7-4, the component VaR (being Marginal VaR*amount of position)...

Thank you. I am in complete agreement about how to define relative SaR and shortfall. The part that just seems strange is saying"Absolute SaR" and "shortfall" are equal. Is this what you are referring to when you say the nomenclature is not terribly well defined? Everything else makes...

Hello, Is there an error in Jorion's Surplus at Risk calculation on p 433, or possibly just an error with his vocabulary? I see that in the spreadsheet you interpret his "surplus volatility" as "asset volatility" and then assume there is no volatility in the libilities. Also, in the video...

Interestimg. Thank you. Shannon