how to interpolate the risk between 2 terms

[Nidhi Singh]

While using duration mapping for VAR mapping of fixed income securities what is the formula used for interpolation of returns VAR

 

[brian.field]

I don't believe there is a "formula" per se. If I remember correctly, David provides an example in the corresponding spreadsheet, the results of which are included in the study notes. The approach is described therein.