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P2.T5.714. When is VaR mapping useful? (Jorion, Ch 11)
It is indeed very helpful thanks David :)- Shadma
- Post #3
- Forum: P2.T5. Market Risk (25%)
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P2.T5.714. When is VaR mapping useful? (Jorion, Ch 11)
Hi @David Harper CFA FRM regarding 714.2 i am confused with GARP 2018 30. Computing VaR on a portfolio containing a very large number of positions can be simplified by mapping these positions to a smaller number of elementary risk factors. Which of the following mapping technique for the given...- Shadma
- Thread
- garp18-p2-30 mapping-var
- Replies: 2
- Forum: P2.T5. Market Risk (25%)
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CVA and DVA
As per Gregory chapter 14 he has introduced a negative sign in CVA formula, so am a little confused as to what should be the impact of credit spread and recovery on CVA. Whether we have to consider the magnitude or sign also- Shadma
- Post #4
- Forum: P2.T6. Credit Risk (25%)
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Whatsapp FRM Part 2 Group-November 2018
Please add me + 91 9993176474- Shadma
- Post #77
- Forum: Part 2 FRM® Study Groups
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CVA and DVA
While calculating CVA and its properties do we need to use negative sign???- Shadma
- Thread
- Replies: 4
- Forum: P2.T6. Credit Risk (25%)