Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk Practice Question Set contains 47 pages covering the following learning objectives:
Chapter 6: Backtesting VaR
* Define backtesting and exceptions and explain the importance of backtesting VaR models.
* Explain the significant difficulties in backtesting a VaR model.
* Verify a model based on exceptions or failure rates.
* Define and identify type I and type II errors. Explain the need to consider conditional coverage in the backtesting framework.
* Describe the Basel rules for backtesting.
Chapter 11: VaR Mapping
* Explain the principles underlying VaR mapping, and describe the mapping process.
* Explain how the mapping process captures general and specific risks
* Differentiate among the three methods of mapping portfolios of fixed income securities.
* Describe how mapping of risk factors can support stress testing.
* Explain how VaR can be used as a performance benchmark.
* Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options.
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