Search found 10 matches

by Julia Cains
Thu Aug 30, 2012 8:48 am
Forum: Volume IV
Topic: EWMA methods in VaR method
Replies: 3
Views: 6448

Re: EWMA methods in VaR method

Dear Carol madam, Thanks a lot for your great help and sincerely apologize for replying bit late. I will definitely go through your suggestions. Madam, even we are also excited and too happy when we refer to your books, your discussion forum. It's like revisiting the college days and we are your stu...
by Julia Cains
Wed Aug 29, 2012 7:16 am
Forum: Volume IV
Topic: New Job
Replies: 1
Views: 3398

Re: New Job

Dear Carol madam,

Heartfelt congratulations and best wishes for your this venture. To put in simple words "Carol Madam Rocks!!!" and we are VERRRRRYYYYYYYYYY proud of you madam.

Julia
by Julia Cains
Wed Aug 29, 2012 7:12 am
Forum: Volume IV
Topic: EWMA methods in VaR method
Replies: 3
Views: 6448

EWMA methods in VaR method

Dear Carol madam, I have one hypothetical portfolio consisting of some equity, bonds and Forex transactions. I am trying to arrive at VaR estimate using Historical, Monte Carlo simulation and VaR-Covar method. While the Historical and Monte Carlo are giving me estimates in the range of 10 to 12 mill...
by Julia Cains
Mon Jan 09, 2012 8:15 am
Forum: Volume III
Topic: Valuation models
Replies: 3
Views: 1889

Re: Valuation models

Dear Carol madam, Thanks a lot for reply and many many thanks for your kind gesture of replying our stupid questions with so much patience. Only wise enlightened souls have this ability of sharing their knowledge with such a polite manner. In short, Carol madam - you simply ROCK!!! I really feel pro...
by Julia Cains
Wed Jan 04, 2012 12:49 pm
Forum: Volume III
Topic: Valuation models
Replies: 3
Views: 1889

Valuation models

Dear Carol madam, I am trying to learn the Market risk. I understand this question may not fit in this forum - but nevertheless perhaps you can guide me. For valuation purpose say in case of options, we use Balck Scholes model. Similarity, when it comes to market risk, are there some other valuation...
by Julia Cains
Tue Aug 16, 2011 1:22 pm
Forum: Volume IV
Topic: VaR of a newly issued bond
Replies: 4
Views: 3062

Re: VaR of a newly issued bond

Dear Carol Madam, Thanks a lot for your quick response. As regards part (2) of my query - which distribution to be selected if there are multiple fittings. I have just taken up this matter with my professor. As mentioned by you, he has advised me to use Anderson Darling (AD test), and choose that di...
by Julia Cains
Tue Aug 16, 2011 12:42 pm
Forum: Volume IV
Topic: VaR of a newly issued bond
Replies: 4
Views: 3062

Re: VaR of a newly issued bond

Dear Madam, I have one query about your following statement. [b:2msjyqbt]Method 3: Just fit an appropriate distribution to daily changes and use MC VaR[/b:2msjyqbt] The query is at times we come across many data for which (1) we may not be able to fit any distribution. The data may be bimodal e.g., ...
by Julia Cains
Tue Aug 09, 2011 2:08 pm
Forum: Volume I
Topic: Liquid options
Replies: 5
Views: 3084

Re: Liquid options

Dear Madam, Thanks a lot for your valuable guidance though I may take some time to understand some part of part initially and hence now I have started feeling your volume - 1 as my dear friend. To tell teh truth, I am bit excited to read your book. What best I like about reading your books is unlike...
by Julia Cains
Tue Aug 09, 2011 9:45 am
Forum: Volume I
Topic: Liquid options
Replies: 5
Views: 3084

Re: Liquid options

Dear Madam, Thanks for the reply. I understood the term liquid. That also means by liquid option you were not referring to "American options". Somehow my thinking was going that direction. Thanks again and one thing I must admit, I am really enjoying reading the book and I am very sure aft...
by Julia Cains
Tue Aug 09, 2011 8:02 am
Forum: Volume I
Topic: Liquid options
Replies: 5
Views: 3084

Liquid options

Dear Madam, I am a novice when it comes to finance and especially the Derivatives. So I am very thrilled to get your systematically arranged step-by-step easy to understand volumes and I am going to read them thoroughly. I have started reading Vol 1 - Quantitative methods in finance. Madam, as I hav...

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