David,

Could you please expound on the Full Revaluation based methodology (using historic simulation) for calculating VaR on non-linear portfolio (e.g., MBS portfolio).  I understand that the approach generates P&L;distribution by revaluing the portfolio using prices/yields time series.  I would like to better understand the mechanics behind this process.  An illustration via spreadsheet, if possible, will definitely help.

Kind regards,
Joy.