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"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."
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"Extreme remedies are very appropriate for extreme diseases."
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Personal Development
"Kitsch is more dangerous than it looks when taken to the extreme."
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Personal Development
"The Greeks said very, very extreme things in their tragedies."
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Personal Development
"I like to hear melodies that go from one extreme to the next- saxophone to a bell to a whistle, for instance."
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Personal Development
"That made me feel good, not to go to a resort where outside the door is extreme poverty."
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Personal Development
"Oh, I realize it's a penny here and a penny there, but look at me: I've worked myself up from nothing to a state of extreme poverty."
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Personal Development
"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."
Author Name
Personal Development
"Justice in the extreme is often unjust."
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Personal Development
"So when I'm working out I do things extreme."
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Personal Development
"I became an adult in an extreme way. I was recently sorting some old photographs and I found another."
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"Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends on the level of the rate. When the rate is very high, that direction is downward; when the rate is very low, it is upward."
Direction
"The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper."
First
"Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as far as the pricing is concerned if you get the average volatility right. It makes a big difference as far as hedging is concerned."
Difference
"If each of your time steps is one week long, you are not modeling the stock price terribly well over a one-week time period, because you are saying that there are only two possible outcomes."
Time
"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."
Direction
"The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem."
Interest
"Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model."
Trying
"I guess any simple idea that is really good will catch on quickly."
Idea
"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."
Risk
"The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate, but on other interest rates as well."
Challenge
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