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#1

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 means.

Does anybody have any ideas please?

Thanks

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 means.

Does anybody have any ideas please?

Thanks

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