dowd

Hello David, Could you please let me know which are the relevant values you plug in the equation q+1.645*se(q) to obtain the 90% confidence intrerval [0.600, 2.690]? Many thanks.

Hi, I am new to asking in the forum and presently didn't understand the calculation of 95% ES for a single bond? In the calculation here: [2% * 1 + (5%-2%) * 0] /5% 1. What are 1 and 0 in the above calculation: I thought it to be payoffs, Is it correct? 2. I assumed 2% is the default...

Hi David, I am referring to Dowd's footnote: 'HS fails to take account of useful information from the upper tail of the P/L distribution. If the stock experiences a series of large falls, then a position that was long the market would experience large losses that should show up, albeit later...

Dear all, studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies. 1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e...