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Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio? (where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.)
A)
B)
C)
D)
Suggested Answer: C
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For EVT, we use the block maxima or the peaks-over-threshold methods. These provide us the data points that can be fitted to a GEV distribution.
Least squares and maximum likelihood are methods that are used for curve fitting, and they have a variety of applications across risk management.
40 comments · newest first
AL
Aleta
10 months ago
I feel like D could be a contender too, though.
GO
Golda
11 months ago
I’m surprised this is even a question, isn’t it obvious?
MA
Margurite
11 months ago
Wait, are we sure about that? I thought it was C.
BA
Barney
11 months ago
Totally agree, B makes the most sense!
GA
Gabriele
11 months ago
I think Option B is the right choice for incremental VaR.
FE
Felicidad
12 months ago
I’m leaning towards Option A, but I remember there was some confusion about the notation. I hope I’m not mixing it up with another concept!
TH
Therese
12 months ago
I feel like Option B looks familiar, but I can't recall the exact details. Did we cover how to derive it in class?
LA
Lanie
12 months ago
I remember practicing a similar question where we had to calculate the impact of adding a new asset. I think it might be Option C, but I need to double-check.
MI
Micah
1 year ago
I think incremental VaR is related to how the new position affects the overall risk, but I'm not sure which formula captures that best.
VE
Vesta
1 year ago
I'm feeling pretty confident about this one. The formula that describes incremental VaR when adding a new position 'm' to the portfolio is option B. The others don't seem to capture the right relationship.
DE
Delila
1 year ago
Okay, I think I've got this. The key is to focus on how the new position 'm' is incorporated into the portfolio VaR calculation. Let me double-check the formulas and see which one makes the most sense.
KE
Kenia
1 year ago
Hmm, I'm a bit confused by the different formulas here. I'll need to make sure I understand the concept of incremental VaR before I can confidently select the right answer.
AL
Alita
1 year ago
This looks like a tricky question on incremental VaR. I'll need to carefully review the formulas and think through the logic to determine which one is correct.
FR
Franklyn
1 year ago
This is a good test of my understanding of VaR. I'll need to carefully work through each formula and think about how the new position impacts the overall portfolio risk. Gotta make sure I get this right.
LO
Lottie
1 year ago
I'm not entirely sure about this one. The question mentions using the original quantity and price from a sales order, but a margin alert doesn't seem like the obvious solution. I'll need to review the Dynamics 365 functionality more closely.
JA
Jaclyn
1 year ago
I'm a bit confused by the different queues mentioned - typing, merging, parsing, input. I'll need to make sure I understand how those fit into the indexing process before I can confidently answer this.
JO
Jolene
1 year ago
I wonder if the exam writer is a fan of calculus. This is getting a little too derivative for my liking!
BI
Billye
1 year ago
No, I think it's D) Option D based on the calculation
RO
Rory
1 year ago
I'm not sure, but I think it's C) Option C
DA
Darrel
1 year ago
I agree, it looks like the correct formula for incremental VaR
LA
Lavera
1 year ago
I think the answer is B) Option B
DY
Dylan
1 year ago
Wait, is this a trick question? I bet the answer is 'all of the above' and they're just trying to trip us up!
MI
Mignon
1 year ago
I'm going with Option B as the answer
RE
Renea
1 year ago
No, I believe the correct answer is Option C
DO
Dorthy
1 year ago
I think the answer is Option A
LE
Leslie
1 year ago
Option D looks promising, but I don't want to jump to conclusions. Gotta work through this step-by-step.
BE
Belen
1 year ago
Option D does seem like a strong contender, but we shouldn't rush our evaluation process.
LY
Lynelle
1 year ago
I agree, we should take our time to understand the implications of each formula.
FR
Frederic
1 year ago
Let's analyze each option carefully before making a decision.
SH
Sherita
1 year ago
Hmm, I'm not sure about this one. I'll have to review my notes on incremental VaR.
PA
Paul
1 year ago
Let's review our notes together to figure out the correct formula for incremental VaR.
EL
Eliz
1 year ago
I'm not sure, I need to double-check my notes on this topic.
DE
Demetra
1 year ago
No, I believe it's actually in Option D.
VI
Virgina
1 year ago
I think the formula for incremental VaR is in Option C.
SO
Sommer
2 years ago
This looks like a tricky question. I'm going to need to think it through carefully.
YU
Yuki
1 year ago
I agree, Option C seems to be the correct choice.
AR
Arlene
1 year ago
I think the answer is Option C.
PO
Pok
2 years ago
Why do you think it's C?
JA
Jannette
2 years ago
I disagree, I believe the correct answer is C.
PO
Pok
2 years ago
I think the answer is B.