Jorion, Value-at-Risk, Chapters 6 & 11 Study Notes contain 42 pages covering the following concepts:
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.
* Summarize how to map a fixed income portfolio into positions of standard instruments.
* 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: not in this version]
After reviewing the notes you will have the opportunity to apply what you learned with practice questions and answers.Shop Courses