Bond risk can be measured by “price returns value at risk (VaR)” where the price returns VaR is linked to yield VaR with duration.
https://www.youtube.com/watch?v=WUHC-nb-7Hg
This video is regarded by David from Bionic Turtle.
Courses / VaR Mapping / Lesson 2 of 6
Bond Returns Value at Risk (VaR) as Bond Risk
⚠️Risk ManagementAugust 13, 2012 · 1 min read