For proposed IMA approach with the ES waterfall we have for example the following calculation: "ES2 is calculated as a 10-day shock in categories 2-5, holding category 1 constant".
I cannot understand how this is done in practical terms.
So, we have selected the 250-day...
I watched David Harper's videos on Key Rate 01, but he uses spot rates, not par rates like in the example of Tuckman.
I have problems understanding that example, maybe someone is kind enough to enlighten me a little?
Why are par rates used as key rates and not spot rates? Is...