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Hi David, Could you explain why lower concentration industry leads to greater recovery? Thanks.

Hi David, Could you give me the definitions and differences of classification models and prediction models? it seems ROC and CAP did not appear in this year's AIMs, are they required? Also the next AIM "Discuss the important factors in the choice of a particular class of model" does...

Hi David, it is great to see your article on investopedia.com which is one of my favorites! :) Thanks.

Hi David, I feel distressed securities strategy is a subclass of event driven strategy? Thanks.

Hi David, Could you explain the difference between Statistical arbitrage and Market neutral long/short equity, under the equity market neutral strategies? thanks.

Hi David, so you mean TE VAR is not really quite useful? or it has other uses? and are there other ways that VAR can be used for benchmarking? Thanks.

thanks David.. can I understand TE VAR is used for benchmarking? So the definiation of TE VAR is z * TE, rather than VAR(porfolio) - VAR (benchmark), right? Thanks.

Hi David, I wonder if the optimal portfolio of portfolio management (the one with highest sharpe ratio) is the same optimal portfolio derived from risk management (the one equating the ratio of excess return over beta for each asset)? why? Thanks,

Hi David, "Incremental VaR can simply be a trade; i.e., if add to position or reduce position, what is incremental impact? " So if we approximate incremental VAR by using marginal VaR, is it true the only difference between incremental VAR and marginal VaR is that marginal VaR is per unit...

thanks again David!

Hi David, could you explain what modified alpha is in portfolio construction? and how does scaling work? thanks.

Hi David, Does historical volatility tend to have the same smile? :) i feel it is quite opposite, like a vol frown.. I wonder if in volatility smile, stock price is assumed to be constant? Thanks.

Thank you David!

Hi David, I could not find the tutorial sceencast for the following required reading: Frank Fabozzi, Handbook of Mortgage Backed Securities 6th edition (New York: Mcgraw Hill, 2006). Chapter 1—An Overview of Mortgages and the Mortgage Market It is supposed to be part of market risk or...

Hi David, so can I simplify it to be the following? 1. long stock with the value of the call premium 2. short position of treasury bill equal to [(delta Shares) – value of call] "2. Short position in the underlying asset financed by a loan equal to [(delta Shares) – value of call]”" but...

Hi David, So Jorion's point is the stress testing using VAR mapping is inferior to the matrix? Meanwhile I feel VAR mapping can also introduce correlations, right? Thanks again!

Hi David, I am not sure I understand what you described "1. Long position in the stock equal to delta 2. Short position in the underlying asset financed by a loan equal to [(delta Shares) – value of call]" I assume in 2 the underlying asset is the stock, so 1 and 2 will just offset...

Hi David, Generally speaking without considering convenience yield or storage, can we decompose a commodity forward into following? 1. short position of bond 2. buy underlying at spot price Thanks.

Hi David, Could you explain the definition of the Tracking error VAR? Thanks.

David, Could you elaborate how it works? "The stress test consists of decreasing all bonds by their VaR" Does it mean the portfolio's value is decreased by the total VAR? Any special point/concept this AIM trying to deliever other than aggregating each zero's VAR to get a total VAR...