G
Gareth
Member
Well, night before exam. Have to say I am pretty disappointed with this course, didn't learn anything useful and it seems to be mainly a book work course learning about the views of the author (which are often very subjective).
Here are some observations from ST5 that illustrates why the banking sector may be justified in their view that actuaries don't quite get investment...
"Difficulties with VaR":
1. Usually assumes normally distributed returns - NO IT DOESN'T! Most people use VaR everyday with all kinds of distributions...
2. Doesn't allow for changes in parameters in times of extreme market conditions - what on does this have to do with VaR? Just because you pick a bad model doesn't mean the problem is with VaR. Why not keep with VaR and use for example a regime shifting jump diffusion model for equity return?
Why do we mention odd downside risk measures like "downside semi standard deviation" (name one regulator or firm who uses this) when we forget to mention TVaR and EPD???
When we talk of difficulties with a risk measure why not mention important things like subadditivity, robustness, etc rather than invent the above non-issues??
Come on IoA you can do better than this, let's try to give actuaries a good name in this field. Why can't we get an investment academic to design this course rather than do it like this?
Here are some observations from ST5 that illustrates why the banking sector may be justified in their view that actuaries don't quite get investment...
"Difficulties with VaR":
1. Usually assumes normally distributed returns - NO IT DOESN'T! Most people use VaR everyday with all kinds of distributions...
2. Doesn't allow for changes in parameters in times of extreme market conditions - what on does this have to do with VaR? Just because you pick a bad model doesn't mean the problem is with VaR. Why not keep with VaR and use for example a regime shifting jump diffusion model for equity return?
Why do we mention odd downside risk measures like "downside semi standard deviation" (name one regulator or firm who uses this) when we forget to mention TVaR and EPD???
When we talk of difficulties with a risk measure why not mention important things like subadditivity, robustness, etc rather than invent the above non-issues??
Come on IoA you can do better than this, let's try to give actuaries a good name in this field. Why can't we get an investment academic to design this course rather than do it like this?