Hello,
Regarding Jorion's Chapter 11 on VaR Mapping, I was wondering where the use of the word 'vector' came from?
Page 21 of the study notes, at the bottom of the page:
Are vectors used to represent the PnL of instruments weighted by their mapped Risk Factor? (such as length of the vector = PnL and direction of the vector = up for profit and down for loss?)
Thanks in advance!
Regarding Jorion's Chapter 11 on VaR Mapping, I was wondering where the use of the word 'vector' came from?
Page 21 of the study notes, at the bottom of the page:
Are vectors used to represent the PnL of instruments weighted by their mapped Risk Factor? (such as length of the vector = PnL and direction of the vector = up for profit and down for loss?)
Thanks in advance!
