One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low.
More Quotes from John Hull:
When interest rates are high you want the average direction in which interest rates are moving to be downward; when interest rates are low you want the average direction to be upward.John Hull
Alan White and I have not as yet written anything on VAR but we have done a number of consulting projects in this area and expect to do more.
John Hull
I didn't become interested in derivatives until 1982, 1983.
John Hull
Our research led on to other things, such as the fact that exchange rates are not lognormally distributed.
John Hull
There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk.
John Hull
Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.
John Hull
Readers Who Like This Quotation Also Like:
Based on Topics: Chance QuotesBased on Keywords: distributions, measurement, outcomes, tails, var
Be regular and orderly in your life, that you may be violent and original in your work.
Clive Barker
We're rapidly approaching a world comprised entirely of jail and shopping.
Doug Coupland
I came to America to become an architect. And somewhere along the line while I was still in school, I was lured into theater, and that's how I became interested in theater. My first play was something called "A Banquet for the Moon." It was a weird play.
Mako