mapping-forwards

  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...
    • Nicole Seaman
    • Thread
    • forward-rate-agreement interest-rate-swaps mapping-forwards options risk-factors stress-testing var-mapping
    • Replies: 0
    • Forum: FRM® Practice Questions
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