Jul 31

Bond price returns VaR as bond risk - 8 min screencast

by David Harper, CFA, FRM, CIPM

FRM |

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In mapping bond portfolios, Jorion (Chapter 11) employs "bond risk." In this case, bond risk is the value at risk (VaR) of the bond's price returns. We can understand by adding VaR to the familiar duration equation; then bond risk (i.e., VaR of the bond price returns) is equal to duration multiplied by the VaR of the yield:

yield_var

Screencast:

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