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[VaR Mapping] Cash-Flow Mapping
Please ignore..got the answer!- arunkiyer
- Post #8
- Forum: P2.T5. Market Risk (25%)
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[VaR Mapping] Cash-Flow Mapping
Hi David I am trying to get my head around how Rxv is being calculated. Could you throw some light on that? I tried summing up the correlation (across different tenors) and then multiplying it with xv but it didnt match. Appreciate if you can help? Thanks Arun- arunkiyer
- Post #7
- Forum: P2.T5. Market Risk (25%)