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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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Exlpore more Extreme quotes
"I'm not really allowed to talk about the Dead though. I think when we are at our best, we definitely do things that the Dead or no other band could do. We explore things and take things to the extreme."
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"All of my activities are so pedestrian. The extreme sport I play is ping pong. And we play it hard. If any of you suckers want to step up to the table, be ready."
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"Of course I am frustrated with regard to extreme poverty, to violence that never seems to cease."
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"The Greeks said very, very extreme things in their tragedies."
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"Extreme remedies are very appropriate for extreme diseases."
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"That made me feel good, not to go to a resort where outside the door is extreme poverty."
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"In my writing with Extreme, there are heavy themes. The cover photo has me with a gun to my neck. I am not advocating suicide. I am taking the philosophy that man is the measure of his own fate."
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"Hockey is the original extreme sport."
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"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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"So when I'm working out I do things extreme."
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Explore more quotes by John Hull
"Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model."
Trying
"We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of thing people were only just beginning to realize."
People
"Alan White and I spent the next two or three years working together on this. We developed what is known a stochastic volatility model. This is a model where the volatility as well as the underlying asset price moves around in an unpredictable way."
Years
"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
"In the interest rate area, traders have for a long time used a version of what is known as Black's model for European bond options; another version of the same model for caps and floors; and yet another version of the same model for European swap options."
Time
"Our research led on to other things, such as the fact that exchange rates are not lognormally distributed."
Fact
"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
"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
"We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners."
Giving
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