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Undiversified Bond Value at Risk (VaR)

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This video illustrates the calculation of undiversified value at risk (VaR) for a two-bond portfolio.

https://www.youtube.com/watch?v=SqZaAl5g\_8U

This video is developed by David from Bionic Turtle.

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VaR of Forward Foreign Currency Contract

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Diversified Bond Value at Risk (VaR)

VaR Mapping

6 lessons

01
Mapping a Fixed Income Portfolio to Risk Factors
02
Bond Returns Value at Risk (VaR) as Bond Risk
03
Mapping a European Stock Option
04
VaR of Forward Foreign Currency Contract
05
Undiversified Bond Value at Risk (VaR)
06
Diversified Bond Value at Risk (VaR)

Topics

Risk Management