John Hull | "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."

"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."

John Hull, American Economist

Risk,

12

Create Your Own Wallpaper

Standard

Customized

"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."

"For what it's worth: trust your feelings. I can't promise that you'll never get hurt again, but I can promise you the risk is worth it."

Author Name

Personal Development

"Risk is the clue that our dreams are both real and great."

Author Name

Personal Development

"What you risk reveals what you value."

Author Name

Personal Development

"By choosing comfort we are in the very same decision choosing to miss every great thing in life, and that thought should be anything but comforting."

Author Name

Personal Development

"When you do something different, you are either blessed or cursed!"

Author Name

Personal Development

"You're desperate, and so am I,' I said. 'Desperate people make stupid decisions all the time.'"

Author Name

Personal Development

"I'll drink your champagne. I'll drink every drop of it, I don't care if it kills me."

Author Name

Personal Development

"Where there is a risk, there is a wealth."

Author Name

Personal Development

"If you are trying to look clean, neat and avoid casting your nets in trouble waters, you will catch no fish."

Author Name

Personal Development

"Accidents are built into the road."

Author Name

Personal Development

"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

"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

"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

"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

"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

"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

12

Standard

Customized

More

"For what it's worth: trust your feelings. I can't promise that you'll never get hurt again, but I can promise you the risk is worth it."

Author Name

Personal Development

"Risk is the clue that our dreams are both real and great."

Author Name

Personal Development

"What you risk reveals what you value."

Author Name

Personal Development

"By choosing comfort we are in the very same decision choosing to miss every great thing in life, and that thought should be anything but comforting."

Author Name

Personal Development

"When you do something different, you are either blessed or cursed!"

Author Name

Personal Development

"You're desperate, and so am I,' I said. 'Desperate people make stupid decisions all the time.'"

Author Name

Personal Development

"I'll drink your champagne. I'll drink every drop of it, I don't care if it kills me."

Author Name

Personal Development

"Where there is a risk, there is a wealth."

Author Name

Personal Development

"If you are trying to look clean, neat and avoid casting your nets in trouble waters, you will catch no fish."

Author Name

Personal Development

"Accidents are built into the road."

Author Name

Personal Development

More

"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

"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

"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

"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

"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

"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