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View Poll Results: Did you use VaR for the contribution requirement?
I used VaR and MMR 6 16.22%
I used VaR and DNMMR 1 2.70%
I did not use VaR 30 81.08%
Voters: 37. You may not vote on this poll

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  #11  
Old 02-14-2018, 11:00 AM
arto83 arto83 is offline
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Originally Posted by PoisedGiraffe View Post
I used VAR because I thought it made intuitive sense to explain - with this rate we'll meet our obligations X% of the time. I MMR'ed on the first try.

I think you can see here how it really does come down to your justification in the write up because almost everyone who has replied to this thread has a different thought.
Thanks, that's exactly what Ive done so far.
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Old 02-14-2018, 11:19 AM
arto83 arto83 is offline
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Anyone every hear of using CTE/VAR as a measure of risk? i.e. how thick is the tail? someone mentioned this and it seems reasonable, but not sure if it is legit
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...is allowed to talk about Fight Club.
...lost both his legs in a car accident....and still managed to walk it off.
...understands the ending of 2001: A Space Odyssey.
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...is a stunt double for Optimus Prime.
...can dribble a football.
...can sneeze with his eyes open.
...CAN lick his elbow.
...can judge a book by its cover.
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  #13  
Old 02-14-2018, 11:28 AM
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You need to pick both an asset mix and set the tax rate. Cte might be too conservative for the tax rate depending on your view, but still be useful for setting the asset mix.
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  #14  
Old 02-14-2018, 11:41 AM
PoisedGiraffe PoisedGiraffe is offline
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Originally Posted by arto83 View Post
Anyone every hear of using CTE/VAR as a measure of risk? i.e. how thick is the tail? someone mentioned this and it seems reasonable, but not sure if it is legit
Someone I know got feedback that you shouldn't use any type of calculated measure. Again, though, if you can justify it properly, they might be fine with it.
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  #15  
Old 02-14-2018, 11:53 AM
chago04 chago04 is offline
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Originally Posted by PoisedGiraffe View Post
Someone I know got feedback that you shouldn't use any type of calculated measure. Again, though, if you can justify it properly, they might be fine with it.
That's not good for me, haha. I should get my grade this week (2 from my day have been graded today).

I used it mostly as a way to justify one asset mix over another. Ie. The higher CTE(95)/VaR(90) is than 1, it is more likely the weight is greater at the end and therefore the impact of a worst case or black swan event would be greater. I tried to explain it pretty well but if I fail, I likely will get rid of that measure.
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  #16  
Old 02-14-2018, 12:19 PM
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Originally Posted by PoisedGiraffe View Post
Someone I know got feedback that you shouldn't use any type of calculated measure. Again, though, if you can justify it properly, they might be fine with it.
you mean as the risk/return metric? I used a calculated measure and I mmr'd. I don't really understand the question at all if it's not asking for a calculated measure.

maybe I passed in spite of doing that though. your paper doesn't have to be perfect to pass.
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  #17  
Old 02-14-2018, 12:29 PM
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Why would you divide CTE(95) by VaR(90)? Not only is it two measures, but it's also two percentiles.

I don't think this = auto fail, but the analysis doesn't make sense to me. I'm also not an expert.
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  #18  
Old 02-14-2018, 12:51 PM
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Why would you divide CTE(95) by VaR(90)? Not only is it two measures, but it's also two percentiles.

I don't think this = auto fail, but the analysis doesn't make sense to me. I'm also not an expert.
Because in a uniform distribution those two measures are equal.
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  #19  
Old 02-14-2018, 12:54 PM
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Because in a uniform distribution those two measures are equal.
i completely don't understand it, but you might be fine. the grader might not understand it either, but if you justified it, you might pass.
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  #20  
Old 02-14-2018, 12:56 PM
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Originally Posted by ao fan View Post
i completely don't understand it, but you might be fine. the grader might not understand it either, but if you justified it, you might pass.
Might help if I said the right numbers. VaR(95) and CTE(90) are equal in a uniform distribution. One is the 95th percentile and the other is the expectation of the final 10%, which is the 95th percentile in a uniform distribution.
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