var-mapping

Learning objectives: Summarize how to map a fixed-income portfolio into positions of standard instruments. Describe how mapping of risk factors can support stress testing. Explain how VaR can be computed and used relative to a performance benchmark. Describe the method of mapping forwards...

Learning objectives: Explain the principles underlying VaR mapping and describe the mapping process. Explain and demonstrate how the mapping process captures general and specific risks. Differentiate among the three methods of mapping portfolios of fixed income securities. Summarize how to map a...

Hi, I didn't understand the calculation of total proceeds. Question: A U. S. exporter anticipates receiving 1 million British pounds in 3 months. This is hedged with a short position in BP futures expiring in 6 months. The initial spot and futures prices are $1.5000 and $1.4703. At the time...

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...

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...

Learning objective: Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options. Questions: 717.1. A portfolio manager evaluates the risk of the following two-bond portfolio: We assume that specific risk is negligible and that the volatility of...

Learning objectives: Describe how mapping of risk factors can support stress testing. Explain how VaR can be used as a performance benchmark. Questions: 716.1. The table below exhibits Jorion's stress test of a $200.0 million two-bond portfolio: one bond is a $100.0 million 5-year 6.0% annual...

Learning objectives: Explain the principles underlying VaR mapping, and describe the mapping process. Explain how the mapping process captures general and specific risks Questions: 714.1. For its investment portfolio, Peter's rapidly growing financial services firm includes a measure of value...

Hi @David Harper CFA FRM , I have questions regarding Jorion chapter 11, VaR mapping notes. Pages 23 of the notes onwards show excel tables, without formulas behind many calculations. I was trying to figure out what is going on, but it is both difficult and time consuming. Could you please...

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