Topic: FRM Exam

Diversified Bond Value at Risk (VaR)

In the previous video, we learned about the calculation of the un-diversified VaR of the two-asset bond portfolio. This video explains Jorion’s Table 11-4 which calculates diversified value at risk (VaR) for the same bond portfolio. The key difference is that...

VaR of Forward Foreign Currency Contract

First, we used the formula for the value of a forward contract to identify the three risk factors. This is the essential mapping idea: we characterize the portfolio as a set of exposures to underlying risk factors. In this case, a forward currency contract maps to a...

Mapping a Fixed Income Portfolio to Risk Factors

This video by explains the concept of mapping fixed income portfolios to risk factors. Why map portfolios to risk factors? It’s a shortcut because portfolios are complicated; e.g., even delta-normal VaR employing a covariance matrix contains n(n+1)/2 pair-wise...

Page 3 of 612345...Last »