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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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"I worked my way up from nothing to a state of extreme poverty."
Author Name
Personal Development
"Extreme nationalism and Bolshevism have broken up the old world, a new world is in the making. It is literally true that old things are passing away; all things may become new, granted we have wise, unselfish, and determined guides."
Author Name
Personal Development
"My favorite Extreme records were the last two. I can't listen to the first one."
Author Name
Personal Development
"There's always going to be that pressure when you're in front of the camera. When you're famous it's just an extreme version of reality and there's a pressure to look a certain way."
Author Name
Personal Development
"Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion."
Author Name
Personal Development
"The less secure a man is, the more likely he is to have extreme prejudice."
Author Name
Personal Development
"I would rather go to any extreme than suffer anything that is unworthy of my reputation, or of that of my crown."
Author Name
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
"I just had this notion that I wanted to do the most extreme thing I could and I also very consciously wanted to do something that was very different from Mars because we were all very close."
Author Name
Personal Development
"I'm a bit of a worrier, to an extreme. I'll crack a joke, then worry if I've offended someone - even when they're laughing. I have a guilt complex, always worrying."
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Personal Development
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"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
"Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion."
Extreme
"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
"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."
Extreme
"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
"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 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
"I guess any simple idea that is really good will catch on quickly."
Idea
"Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model."
Trying
"I think VAR is a very healthy development within the industry."
Development
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