What's new

var-mapping

  1. A

    P2.T5. Jorion - VAR mapping - currency futures - Practice question number 19 on page 57

    Hi, I didn't understand the calculation of total proceeds. Question: A U. S. exporter anticipates receiving 1 million British pounds in 3 months. This is hedged with a short position in BP futures expiring in 6 months. The initial spot and futures prices are $1.5000 and $1.4703. At the time...
  2. Nicole Seaman

    YouTube T5-05: Value (VaR) Mapping a fixed-income portfolio

    In this video, we walk through an actual case study of Value at Risk (VaR) mapping, specifically as it is illustrated by Phillip Jorion in Chapter 11 of his book, Value at Risk. We will take a two-bond fixed income portfolio. It's going to have a value of 200 million, and we're going to look at...
  3. G

    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...
  4. 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...
  5. 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...
  6. 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...
  7. 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...
  8. 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...
Top