Jorion Ch 11

[fashepard]

David,

I am reading chapter 11 and as I review the tabels I can not get the VAR numbers.

Frank

 

[David Harper CFA FRM]

Hi Frank,

Please note (as per Ch 11 AIMs which tend to be "discuss" and "explain") you need here a conceptual grasp rather than a computational grasp.
That said, kudos for wanting to get behind the numbers: computational grasp improves the conceptual grasp. But please evaluate the amount of time spent here, given these AIMs are "merely" conceptual and you have plenty of other computational AIMs

The week before last I did a blog series (please take my blog! it's for you!) on almost all of these tables in Jorion Ch 11. There is a bit more going on behind the scenes. Advise if you want the EditGrids and I will post to member page. Here are the reviews of Ch 11

Mapping a fixed income portfolio (Intro VaR Mapping) – 8 min screencast
http://www.bionicturtle.com/learn/article/mapping_a_fixed_income_portfolio_intro_var_mapping_8_min_screencast/

Bond price returns VaR as bond risk - 8 min screencast
http://www.bionicturtle.com/learn/article/bond_price_returns_var_as_bond_risk/

Un-diversified bond portfolio VaR – 9 min screencast
http://www.bionicturtle.com/learn/article/un_diversified_bond_portfolio_var_9_min_screencast/

Diversified VaR of Bond Portfolio – 9 min screencast
http://www.bionicturtle.com/learn/article/diversified_var_of_bond_portfolio_9_min_screencast/

Risk factors in a forward currency contract (Market Risk: VaR Mapping) – 7 min screencast
http://www.bionicturtle.com/learn/article/risk_factors_in_a_forward_currency_contract_market_risk_var_mapping_7_min_s/

Mapping a stock option – 9 min screencast
http://www.bionicturtle.com/learn/article/mapping_a_stock_option_9_min_screencast/

David