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Hi, David
I have question from jorin's chapter.
It is about calculating VAR under duration mapping, and it is question
number 63.2.
Risk at 2 year maturity= 1.923*1.65=3.16%
Risk at 3 " = 2.885*1.65=4.75%
Risk at 2.885 = (4.75-3.16)*(2.885-2)+3.16=4.563%
In the first two lines, why don't we use 1.645 instead of 1.65?
from last equation, why do we use '2' to subtract from 2.885? Why is not 1.923?
Thank you for your time
I have question from jorin's chapter.
It is about calculating VAR under duration mapping, and it is question
number 63.2.
Risk at 2 year maturity= 1.923*1.65=3.16%
Risk at 3 " = 2.885*1.65=4.75%
Risk at 2.885 = (4.75-3.16)*(2.885-2)+3.16=4.563%
In the first two lines, why don't we use 1.645 instead of 1.65?
from last equation, why do we use '2' to subtract from 2.885? Why is not 1.923?
Thank you for your time
