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

Nicole Seaman

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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 VaR mapping under three different approaches. That mapping means that we'll take the value of the portfolio and we'll map it to one primitive risk factor or, in the more sophisticated case, five primitive risk factors. This will be a simplification exercise so that we can take in theory what is a complex portfolio and replace it, or map it to, a limited set of simple risk factors. Then we can shock or stress the risk factors as a means of estimating the risk of the portfolio.


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#2
Hi David,

Is it possible to post the excel file from the video? I'd like to explore this further and I've ordered the book mentioned in the description, but while waiting for it to arrive, I would love the chance to play with the excel file if possible.

Thank you so much!
Brian
 
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