Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk Practice Question Set cover the following learning objectives:
Chapter 6: Backtesting VaR
Define backtesting and exceptions and explain the importance of backtesting VaR models.
Explain the significant difficulties in backtesting a VaR model.
Verify a model based on exceptions or failure rates.
Define and identify type I and type II errors. Explain the need to consider conditional coverage in the backtesting framework. Describe the Basel rules for backtesting.
Chapter 11: VaR Mapping
Explain the principles underlying VaR mapping, and describe the mapping process.
Explain how the mapping process captures general and specific risks
Differentiate among the three methods of mapping portfolios of fixed income securities.
Describe how mapping of risk factors can support stress testing.
Explain how VaR can be used as a performance benchmark.
Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options.