var-mapping

Hi, I'm at a loss as to how diversified VaR is computed whe mapping linear derivatives. Undiviersified VaR is easy enough: sum(pv of cash flows x risk). On page 67 of the official materials it says pre and post multiply by the pv of cashflows to get diversified var. But I don't get what it...

Learning objective: Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options. Questions: 717.1. A portfolio manager evaluates the risk of the following two-bond portfolio: We assume that specific risk is negligible and that the volatility of...

Learning objectives: Describe how mapping of risk factors can support stress testing. Explain how VaR can be used as a performance benchmark. Questions: 716.1. The table below exhibits Jorion's stress test of a $200.0 million two-bond portfolio: one bond is a $100.0 million 5-year 6.0% annual...

Learning objectives: Explain the principles underlying VaR mapping, and describe the mapping process. Explain how the mapping process captures general and specific risks Questions: 714.1. For its investment portfolio, Peter's rapidly growing financial services firm includes a measure of value...

Hi @David Harper CFA FRM , I have questions regarding Jorion chapter 11, VaR mapping notes. Pages 23 of the notes onwards show excel tables, without formulas behind many calculations. I was trying to figure out what is going on, but it is both difficult and time consuming. Could you please...

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