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  #371  
Old 01-23-2020, 10:10 AM
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TIA explicitly called out a few of the calculations in Goldfarb saying he got different numbers than the author and that he thinks the author was wrong by a bit. That was one of them.
interesting, thanks
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Old 01-23-2020, 04:23 PM
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I'll probably do it since I work in ERM.
Cool, I'm thinking about switching to non-pricing roles in the future and ERM seems pretty interesting to me so far. Interestingly my employer does provide study support for SP9, though there will be no exam raise associated with it.
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Old 01-23-2020, 06:37 PM
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in 6.1.1 of Goldfarb, what does the subscript on EPS mean? there's a 1 there
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Old 01-23-2020, 09:49 PM
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in 6.1.1 of Goldfarb, what does the subscript on EPS mean? there's a 1 there
From Investopedia, EPS= (Net Income − Preferred Dividends)/End-of-Period Common Shares Outstanding, so it seems like EPS1 in Goldfarb's formula is the EPS at T1 while P0 is the price of the equity at T0.

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Old 01-23-2020, 09:59 PM
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From Investopedia, EPS= (Net Income − Preferred Dividends)/End-of-Period Common Shares Outstanding, so it seems like EPS1 in Goldfarb's formula is the EPS at T1 while P0 is the price of the equity at T0.

thanks, looks good
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Old 01-24-2020, 08:24 PM
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Patrik says he's going to describe a four step process, and only writes 3 steps. what's up with that
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Old 01-24-2020, 09:20 PM
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Patrik says he's going to describe a four step process, and only writes 3 steps. what's up with that
It's reinsurance, he doesn't sweat the small stuff like math.
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Old 01-25-2020, 01:43 PM
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Brehm pg. 119 The Frank Copula

Couple of questions here:

A) I get C(u,v) is a joint distribution function, but what is c(u,v)? Is this the joint pdf? It seems like in order to calculate X and Y all we need is C1(u,v) and we don't need c(u,v) at all. Not sure why the author leaves the c(u,v) formula there, maybe it's just for the sake of completeness

B) What role does this Kendall's tau thing play here?
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Old 01-25-2020, 10:09 PM
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Brehm pg. 119 The Frank Copula

Couple of questions here:

A) I get C(u,v) is a joint distribution function, but what is c(u,v)? Is this the joint pdf? It seems like in order to calculate X and Y all we need is C1(u,v) and we don't need c(u,v) at all. Not sure why the author leaves the c(u,v) formula there, maybe it's just for the sake of completeness

B) What role does this Kendall's tau thing play here?
a) what you said
b) tau is a measure of concordance, a given copula can have varying amounts of correlation in the tail. if you set tau or a then the other is fixed
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Old 01-26-2020, 02:36 PM
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a) what you said
b) tau is a measure of concordance, a given copula can have varying amounts of correlation in the tail. if you set tau or a then the other is fixed
Thanks!
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