Problem here is that the number of bonds can be only integer (whole number). That is to say you can not own 1.5 bonds or 0.7 of a bond. You ether have 1, 2, 0 etc. So 95% Var is perhaps the default of 1.5 bond and 96% Var is the default of 1.8 bonds. We can say loosing 1.5 bond or 1.8 bond is the same as loosing 1 bond in both cases as you simply can't loose .5 or .7 of a bond. thus 95% probability is equal to 96% probability. So may be the problem is not in VaR? May be the problem is in using VaR in Bernoulli distribution?
This is the best explanation I have heard regarding these topics, thank you.
Thanks a lot fot this very clear and detailed explanation, really clarify my confusions,
Problem here is that the number of bonds can be only integer (whole number). That is to say you can not own 1.5 bonds or 0.7 of a bond. You ether have 1, 2, 0 etc. So 95% Var is perhaps the default of 1.5 bond and 96% Var is the default of 1.8 bonds. We can say loosing 1.5 bond or 1.8 bond is the same as loosing 1 bond in both cases as you simply can't loose .5 or .7 of a bond. thus 95% probability is equal to 96% probability. So may be the problem is not in VaR? May be the problem is in using VaR in Bernoulli distribution?
I love these videos...would it be too much to ask recommendations on viable textbooks for this subject in particular? VaR and ES?
Kevin Dowd - Measuring Market Risk
@@ta55o5 Thank you....
12:48 What does "0" represent?
18:28 Why is that risk measures becomes more important of a concern when we have fat tails?
skew and kurtosis, we cant go beyond 3 thus mean is not representative therefore, we use GARCH and EWMA