Why is traditional, simple VaR measurement not coherent
Why is traditional, simple VaR measurement not coherent?
Expert
The traditional, simple VaR measure is not coherent because it does not satisfy the sub-additivity condition. Sub-additivity is an evident requirement for a risk measure; or else there would be no risk benefit to adding uncorrelated new trades in a book. When you have two portfolios X and Y so then this benefit can be explained as
ρ(X) + ρ(Y) − ρ(X + Y).
Explain all possible ways of marking over-the-counter contracts.
Explain the design patterns of an MFC application?
Illustrates an example of distribution of maxima and minima in Extreme Value Theory?
Illustrates an example of bid/offer on a call in put–call parity?
what are the factors resposible for the recent surge in international portfolio investment?
Explain all mathematical laws under the condition of Central Limit Theorem.
Explain how portfolio’s value for realization calculated? Give an example.
Explain the term PGARCH as of the GARCH’s family.
Give an example of restrictive covenants that could be given in a bond’s indenture?
Explain in brief capital rationing? What are reasons that a firm should practice capital rationing?
18,76,764
1946723 Asked
3,689
Active Tutors
1424466
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!