Diversified VAR on Learning spread sheet: 5.c.2 Jorion Mapping FI

[concepts]

Hi David in the movie tutorial 5.C page 28, you got diversified VAR as $2.49Millon while Jorion (page 286) got $2.57Millon
I think the reason why is that the transposed indiv.VAR (xV) where not transposed properly!

When I did the transpose myself and used MMULT function in excel, , I was able to get the same amount as Jorion : $2.57 million

As shown below

2.33
2.51
2.51
2.56
2.55

0.50 0.05 0.08 0.09 1.91 = 6.60 Sqr 6.60 = 2.57

Thanks,

Concepts

 

[David Harper CFA FRM]

concepts,

thank you! absolutely right, my transpose failed...when fixed, produces a matching number to Jorion, as you say....i really appreciate that help, I will upload corrected version today...

David

 

[emilykychow]

Hi David

Would it be OK to add a sheet demonstrating the mapping of the swap VAR? I couldn't get the answer calculated by Jorion.

Thanks
Emily

 

[David Harper CFA FRM]

Emily - Yes, I will see if i can replicate Jorion's swap VaR...David