mcg79 Wrote: ------------------------------------------------------- > If that is true I can get ready to hang myself! Oh you have more than nine lives. Actually I will ask for about 180 lives to make sure I can kill myself on every mistake but will not die 
bluelily Wrote: ------------------------------------------------------- > It was the right definition in one way. But it > looks like shortfall risk can be defined > differently according to CSK and other guys. > > emarkhans Wrote: > -------------------------------------------------- > ----- > > My recollection is that the statement the > person > > made regarding shortfall risk wasnât even the > > right definition? Am I thinking about a > different > > question? no, theyâre talking about shortfall, which is a value. short fall risk is a probability
in CFA terminology, shortfall risk is probability, the VaR statement and shortfall statement Iâm sure were not the answer
It doesnât matter for me. My doubt was between semivariance and VAR. thetank Wrote: ------------------------------------------------------- > bluelily Wrote: > -------------------------------------------------- > ----- > > It was the right definition in one way. But it > > looks like shortfall risk can be defined > > differently according to CSK and other guys. > > > > emarkhans Wrote: > > > -------------------------------------------------- > > > ----- > > > My recollection is that the statement the > > person > > > made regarding shortfall risk wasnât even the > > > right definition? Am I thinking about a > > different > > > question? > > no, theyâre talking about shortfall, which is a > value. short fall risk is a probability
csk, I read the definition but I still stand by my understanding. Shortfall can be a value. For instance when you use Royâs Safety First ratio, you can define shortfall as say 5%, then it can be also considered minimum acceptable return. However, when you talk about âshortfall riskâ, like many of the IPS questions do, and when you define it as expected reurn - # * std, you have to assume some sort of distribution of returns, and in that case shortfall value is determined based on the probability associated with it (based on the area under the curve).
bluelily Wrote: ------------------------------------------------------- > Itâs MBS, it canât possibly have a fixed rate. i seem to fuzzily remember them saying it was a fixed rate MBS - thats why i said no cap risk. agree about the contingent claims risk yes.
equity_research_nds Wrote: ------------------------------------------------------- > SEMI-VARIANCE all the way⌠> > and btw i know it coz i manage a bond > portfolio⌠guys are we talking about the AM question or the PM question?
PM
^PM
Is there a semi-variance question in the AM? @#%!#%#%&^%*^???
volkovv, i am not going to argue. Maybe you are right. I am just very tired of trying to decipher what CFAI tries to explain. I think CFAI should jump off their high mountain and realize that their test is a joke comparing to any decent post-graduate degree.
bluelily Wrote: ------------------------------------------------------- > Is there a semi-variance question in the AM? > @#%!#%#%&^%*^??? no but there was a question as to an alternative to standard deviation or something of that variety.
I thought I missed a whole question. I gotta stop reading all the posts. It drives me insane now. oskigo Wrote: ------------------------------------------------------- > bluelily Wrote: > -------------------------------------------------- > ----- > > Is there a semi-variance question in the AM? > > @#%!#%#%&^%*^??? > > > no but there was a question as to an alternative > to standard deviation or something of that > variety.
comp_sci_kid Wrote: ------------------------------------------------------- > volkovv, i am not going to argue. Maybe you are > right. I am just very tired of trying to decipher > what CFAI tries to explain. I think CFAI should > jump off their high mountain and realize that > their test is a joke comparing to any decent > post-graduate degree. i have to agree, theyâve âjumped the sharkâ in this one, i thought we were supposed to be financial analysts, not performance evaluators, how about teach us some credit analysis instead of VWAP or implementation short
comp_sci_kid Wrote: ------------------------------------------------------- > I think CFAI should > jump off their high mountain and realize that > their test is a joke comparing to any decent > post-graduate degree. +1
The semivariance was the right answer. Shortfall risk and VAR statements were correct. VAR does give you a probability of a DOLLAR amount loss but doesnât give you the magnitude of the loss and Shortfall Risk is a probability of having a return lower than some target. Even with asymmetric returns, semivariance becomes extremely difficult to calculate.
^ I second the âhigh mountainâ comment
+3 
+4
comp_sci_kid Wrote: ------------------------------------------------------- > volkovv, i am not going to argue. Maybe you are > right. I am just very tired of trying to decipher > what CFAI tries to explain. I think CFAI should > jump off their high mountain and realize that > their test is a joke comparing to any decent > post-graduate degree. I think Iâm remembering this right: If it was the one with shortfall and four statements, the description of shortfall itself wasnât even accurate.