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var-mapping

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    VaR Mapping - Diversified VaR

    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...
  2. Nicole Seaman

    P2.T5.717. Value at risk (VaR) mapping (Jorion Ch.11)

    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...
  3. Nicole Seaman

    P2.T5.716. Value at risk (VaR) mapping for stress testing and performance benchmarking (Jorion)

    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...
  4. Nicole Seaman

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

    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...
  5. T

    Jorion VaR Mapping

    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...
  6. Nicole Seaman

    P2.T5.703. VaR backtest and VaR mapping

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
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