Jorion VaR Mapping

[tamar.pitch8]

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 share the excel spreadsheet that shows the calculations, and better so, could you please clarify what is/how is calculated the yield VaR, how are we calculating Macauley durations on page 24 (what yield are we using for each bond), how are we calculating and using spot rates on page 25, how are we getting the 3-year returns VaR of 1.484% on page 25. Questions like these continue on all the pages where we have excel tables snapshots.
• Also, it is not clear how you are getting numbers on pages 28-29 for mapping of forwards etc.

The questions are way too many than I would like to ask, but I do not find explanations in the notes. Thank you very much, and looking forward to hearing from you.
Best regards,
Tamar

 

[David Harper CFA FRM]

Hi @tamar.pitch8 the learning XLS for Jorion is located here at https://learn.bionicturtle.com/topic/learning-spreadsheet-jorion-chapter-6/. Jorion's own chapter is not particularly helpful on many of the details, it took me actually years to reconstruct some of the assumptions in order to successfully replicate his tables. We will look to continue to improve the associated study notes at the next revision, but I don't have current time (given the exam is coming up, I can barely keep up with the forum) to generate new essays based on broad, cumulative questions (sorry). Given the syllabus is stabilizing, next year I will definitely produce a video going over the sequence in Jorion's VaR mapping (as I really do want to share the work it required to replicate the tables) and make the notes even better, but realistically it won't be before the exam. (cc @Nicole Seaman if you have anything to add? This question is buried under t5.63 and it just requires too much cross-referencing in current forum. Should we move it to the general boards?). Thanks,

@Nicole Seaman if you move this to general, I can at least help by explaining Jorion's Table 8-4 (on the tab VaR-Mapping-Jorion-Ch-11) and its connection to Table 11-2. We definitely have prior forum commentary on this, and we do want to (next year) consolidate into more effective summary communication

 

[tamar.pitch8]

Hi @tamar.pitch8 the learning XLS for Jorion is located here at https://learn.bionicturtle.com/topic/learning-spreadsheet-jorion-chapter-6/. Jorion's own chapter is not particularly helpful on many of the details, it took me actually years to reconstruct some of the assumptions in order to successfully replicate his tables. We will look to continue to improve the associated study notes at the next revision, but I don't have current time (given the exam is coming up, I can barely keep up with the forum) to generate new essays based on broad, cumulative questions (sorry). Given the syllabus is stabilizing, next year I will definitely produce a video going over the sequence in Jorion's VaR mapping (as I really do want to share the work it required to replicate the tables) and make the notes even better, but realistically it won't be before the exam. (cc @Nicole Seaman if you have anything to add? This question is buried under t5.63 and it just requires too much cross-referencing in current forum. Should we move it to the general boards?). Thanks,

@Nicole Seaman if you move this to general, I can at least help by explaining Jorion's Table 8-4 (on the tab VaR-Mapping-Jorion-Ch-11) and its connection to Table 11-2. We definitely have prior forum commentary on this, and we do want to (next year) consolidate into more effective summary communication

Hi David, @David Harper CFA FRM ,
Thanks a lot for your message. I will try to understand the excel on my own. However, the XLS file you shared above contains partial explanation of Jorion chapter 6, while I currently need Jorion chapter 11. Could you please share an updated XLS file for Jorion chapter 11?
I appreciate your help.
Best regards,
Tamar

 

[Nicole Seaman]

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 share the excel spreadsheet that shows the calculations, and better so, could you please clarify what is/how is calculated the yield VaR, how are we calculating Macauley durations on page 24 (what yield are we using for each bond), how are we calculating and using spot rates on page 25, how are we getting the 3-year returns VaR of 1.484% on page 25. Questions like these continue on all the pages where we have excel tables snapshots.
• Also, it is not clear how you are getting numbers on pages 28-29 for mapping of forwards etc.

The questions are way too many than I would like to ask, but I do not find explanations in the notes. Thank you very much, and looking forward to hearing from you.
Best regards,
Tamar

@Nicole Seaman if you move this to general, I can at least help by explaining Jorion's Table 8-4 (on the tab VaR-Mapping-Jorion-Ch-11) and its connection to Table 11-2. We definitely have prior forum commentary on this, and we do want to (next year) consolidate into more effective summary communication

@tamar.pitch8 @David Harper CFA FRM

I've moved this to the general Market Risk board. As David stated above, he can help out a bit more with this, but I do want to make sure @tamar.pitch8 that you have tried to search the forum for discussions on this topic, as there are many discussions about VaR mapping in the forum. Here are just a one of the threads that I found that may be helpful to you: https://forum.bionicturtle.com/threads/jorion-chapter-11-mapping-var.7721/#post-28915. The spreadsheet that David provided above is for Chapter 6 and Chapter 11. Also, please remember that you need to have a Professional subscription in order to view the spreadsheets. If you would like to upgrade, please email me directly at [email protected].

Thank you,

Nicole

 

[David Harper CFA FRM]

Hi @tamar.pitch8 The worksheet called "VaR-Mapping-Jorion-Ch-11" is a single sheet with several exhibits that show exactly how Jorion's fixed income mapping sequence is derived, from Jorion's Table 8-4 to Jorion's Table 11-2 to 11-3 (stress testing) to 11-4 (cash flow mapping and computing Var of the bond portfolio). As this revision sincerely took me years to produce, I want to keep it in the Study Planner to appreciate those members who support us with the Professional subscription. With respect to forwards and other instruments, those are only implemented roughly in the Appendix; I have not yet re-cast them into user-friendly format such that we don't yet have polished XLS for those mapping. Thanks for understanding, as usual, I will support specific questions and clarifications. Thanks!