FI semivariance

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ChiTownBull

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4 statements one had to do with Standard dev
anyone remember more than i do?
 
are you talking about the risk measure of bond portfolio?
Std dev
Semivariance
Shortfall risk
VAR
I was debating between semivariance and VAR the whole time. To be honest, I don’t even remember which one I went in the end.
 
yes they said semi variance was appropriate for a portfolio with bonds having options in them
obs the stmnt was incorrect
 
MrDonadei Wrote:
——————————————————-
> The incorrect one was about the shortfall
> probability…
agreed
 
comp_sci_kid Wrote:
——————————————————-
> MrDonadei Wrote:
> ————————————————–
> —–
> > The incorrect one was about the shortfall
> > probability…
> agreed
disagree…… i think the semi variance stmnt was incorrect
 
I decided that VAR could measure % loss, and that other statements were correct, but I was not confident about that.
 
I’m 100% sure on this… the shortfall risk was clearly wrong and the semivariance looked fine to me :) and I work in risk ;)
 
Does VAR measure risk in money terms? Somehow, I didn’t think it was right either. It says VAR measures loss in money terms but does not give the magnitude of the worst possible loss.
 
I was deliberating between shortfall and VAR as well, went with VAR….but have no confidence in it.
 
I have to disagree. Nothing wrong with that statement.
MrDonadei Wrote:
——————————————————-
> I’m 100% sure on this… the shortfall risk was
> clearly wrong and the semivariance looked fine to
> me :) and I work in risk ;)
 
bluelily Wrote:
——————————————————-
> Does VAR measure risk in money terms? Somehow, I
> didn’t think it was right either. It says VAR
> measures loss in money terms but does not give the
> magnitude of the worst possible loss.
that is exactly what VAR is, it does measure it in money terms and it doesnt account for worst loss
 
but shortfall also seemed correct, it does measure probability of not making your target if lets say you use 2 std shortfall, then you can say you are 95% sure you at least get that target
 
same here. I thought VAR was a % measure too. But I don’t even remember what answer I decided in the end, between VAR and semivariance.
bchadwick Wrote:
——————————————————-
> I decided that VAR could measure % loss, and that
> other statements were correct, but I was not
> confident about that.
 
bluelily Wrote:
——————————————————-
> Does VAR measure risk in money terms? Somehow, I
> didn’t think it was right either. It says VAR
> measures loss in money terms but does not give the
> magnitude of the worst possible loss.
I agree with the stmnt it doesnt tell u the most u will loose in worst case scenario….. shortfall probabilty also doesnt tell u in monetary terms how much u will lose…it just tells u the probabilty of it….
however u cant use semi-variance for a portfolio which includes options coz of thier non-linear payoffs….
 
volkovv Wrote:
——————————————————-
> but shortfall also seemed correct, it does measure
> probability of not making your target if lets say
> you use 2 std shortfall, then you can say you are
> 95% sure you at least get that target
shortfall doesnt measure PROBABILITY it gives you the number. not probability
 
To me, all statements sounded correct. I just thought the VAR one had the most probable deviation on the minutiae.
 
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