jorion-ch11

  1. 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...
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