Aug 06

Risk factors in a forward currency contract (Market Risk: VaR Mapping) – 7 min screencast

by David Harper, CFA, FRM, CIPM

FRM |

map_currency_fwd_thumb

In Jorion’s Chapter 11 on VaR Mapping, he illustrates some useful mapping of financial instruments. In this screencast, I show the first snippet from Table 11-6. The goal is modest: take a single forward currency contract and identify the three risk factors (spot exchange rate, domestic interest rate, foreign interest rate). May seem difficult at first, but notice we are employing building blocks from Hull.

Screencast:

Comments

  1. Be the first to leave a comment!

Leave a Comment