John Hull | "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."

"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."

John Hull, American Economist

Extreme,

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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."

"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

"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

"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

"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

"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

"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 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

"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

"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

"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

"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

"I became an adult in an extreme way. I was recently sorting some old photographs and I found another."

Author Name

Personal Development

"Of course I am frustrated with regard to extreme poverty, to violence that never seems to cease."

Author Name

Personal Development

"Extreme remedies are very appropriate for extreme diseases."

Author Name

Personal Development

"So when I'm working out I do things extreme."

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."

Author Name

Personal Development

"I would rather feel things in extreme than not at all."

Author Name

Personal Development

"Extremes are dangerous."

Author Name

Personal Development

6

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Customized

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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."

Extreme

"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

"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

"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

"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

"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 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

"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

"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

More

"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

"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

"I became an adult in an extreme way. I was recently sorting some old photographs and I found another."

Author Name

Personal Development

"Of course I am frustrated with regard to extreme poverty, to violence that never seems to cease."

Author Name

Personal Development

"Extreme remedies are very appropriate for extreme diseases."

Author Name

Personal Development

"So when I'm working out I do things extreme."

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."

Author Name

Personal Development

"I would rather feel things in extreme than not at all."

Author Name

Personal Development

"Extremes are dangerous."

Author Name

Personal Development