you can also use bid ask spread as a measure of liquidity. probably can download from bbg..

it is not a cdf...assume it is a time series graph with date on x axis and on y axis, it is the probability of loosing more than 20%(say) of your capital..ther eis no realized P&L yet...

<t>Just polling to check for a common industry term for opposite of VaR. i.e. VaR measures the probability of loosing x amount of money over some holding period with some confidence. i.e. we keep probability fixed (say 99%) and find out what the amount is. so in a time series graph, the x axis would...

<t>We were having an internal discussion to decide what credit rating should we assign to an exchange like Nymex or CME. We usually have some internal threshold (deterministic P99) for each rating. After talking to few people, looks like people assume the credit limit to an exchange could be infinit...

what does EM stand for? thnks

<t>Some time ago, I came acrsos a paper that listed some technique for backfilling historical data to get the correct correlation matrix. This situation particularly arises when you have a multi asset portfolio where one asset has a short history. This reduces the size of correlation matrix. So the ...

<t>Complication comes from the fact that all the positions are not same contract. most of them are daily options which expire on different days, some of them are monthly contracts again expiring at different months. If we do a daily simulation, now i need to get correlaton among these contracts etc....

one way to stress it is up and down 50%.

1. VaR and other risk metrics2. Delta gamma approximationThere are few tricks i can think of. One is to find Delta gamma at different percentiles and use those in DG approximation. but wanted to see if anyone else has any other ideas.Thanks

<t>Wanted to see if anyone has further insight into this. Problem: Simulating a portfolio of large number of commodity positions (e.g. NG). Lets say we have a portfolio of 30,000 small positions on NG Nymex contracts from today till next year. (i.e. until Sep 09 contract for example). It is relative...

Most of the historical weather information in US can be purchased from NOAA/NCDC. You might even get free data for some locations.

I took a quick look. Coupl eof questions:1. Not sure why are you restricting the number of data points to calculate the threshold? The "Small" formual only goes to row 139.2. You are using the same "Nu" value for P95 and P99.3. How did you calculate Beta and zeta?

Interesting. Just curious, how did you acccunt for global warming?

thanks guys.

<t>IN our risk control, we have limits on the long gamma. We cant think of any reason why we should have limits on long gamma. We are thinking of getting it removed. but i wanted to see if ayone can think of a reason from risk perspective, why you would want to have a control on the amount of positi...