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mapping-var

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    P2.T5.714. When is VaR mapping useful? (Jorion, Ch 11)

    Hi @David Harper CFA FRM regarding 714.2 i am confused with GARP 2018 30. Computing VaR on a portfolio containing a very large number of positions can be simplified by mapping these positions to a smaller number of elementary risk factors. Which of the following mapping technique for the given...
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    jorion chapter 11 mapping var

    I'm not really comfortable with this chapter (or the previous one although i should be able to cope with that on my own) I'm looking at the various mapping methods... And i'm just a bit confused. For example, The return var is a product of the modified duration and the yield var... how do i...
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