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Thank you. I do not wish to take up any more of your time as you have already been so generous in looking at my questions, but I believe you were adding individual VaRs, where my question concerned INCRIMENTAL VaRs, specifically, full revaluation incremental VaRs. I believe the math you did...

You do go over it in the other video, but you show how comp VaR is actually an approximation for incremental VaR (using marginal VaR, kind of like the delta normal appx or mod duration*delta y), not the other way around. And that it only really works, as you said, when there are many positions...

I completely understand. If it could somehow be in the videos, that would be great. Also (Moving on to Jorion), I noticed that you said the component VaRs, by construction, add up to the total VaR. Isn't this just an approximation because component VaR is really an approximation? Wouldn't...

Hello, I just watched the video for ch 14 for Grinold and there were a few things that stumped me. For instance, at one point you said that if the benchmark really over-performs, then the active return will be high. But the formula says that active return=portfolio return-benchmark return...

Hello, What exactly is meant by "illiquidity premia are generally high and significant"? Does this mean that illiquid investments are worth more? Worth less? Seem to provide higher returns, lower returns? If so, over (or under) what? Logically, it would seem like more liquidity would make...

Hello, The literature on this topic is very confusing. It seems easy enough, but many times the text seems to say two contractory things or has a graph that does exactly the opposite that the text says should be happening. For instance, Veronesi says that the price of the PAC tranche does not...

Hello, I read something in Hull that I just cannot wrap my head around and I was hoping you may have an easy way of clearing this up. When talking about the greek letters, it says: "The volatility smile complicates the calculation of the Greek letters. Assume that the relationship between...

It certainly does. Thanks! Shannon

Hello, In the text, it says that using KR01s to hedge will approximately immunize the portfolio against any combination of key rate movements. Then it mentions a couple of particular instances where it would work. I understand that it will only work for small moves and if the intermediate...