1. Nicole Seaman

    P2.T5.22.10. Value at risk (VaR) mapping

    Learning objectives: Summarize how to map a fixed-income portfolio into positions of standard instruments. Describe how mapping of risk factors can support stress testing. Explain how VaR can be computed and used relative to a performance benchmark. Describe the method of mapping forwards...
  2. F

    Interest Rate Swaps (Key Rate Duration)

    I am trying to understand why KRD levels are most sensitive closer to the maturity of a pay-fixed swap. Let’s say for example, I have a 10-year vanilla pay-fixed swap. The KRD is highest at the 10yr, around 4.54. One side of the transaction is fixed and the swap is essentially a bet on LIBOR...