performance-benchmark
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P2.T5.716. Value at risk (VaR) mapping for stress testing and performance benchmarking (Jorion)
Learning objectives: Describe how mapping of risk factors can support stress testing. Explain how VaR can be used as a performance benchmark. Questions: 716.1. The table below exhibits Jorion's stress test of a $200.0 million two-bond portfolio: one bond is a $100.0 million 5-year 6.0% annual...- Nicole Seaman
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- mapping-risk-factors performance-benchmark stress-testing var-mapping
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