diversified-var

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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...
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