Jorion, Chapter 11: VaR Mapping

Torsleno

New Member
Hello,

Regarding Jorion's Chapter 11 on VaR Mapping, I was wondering where the use of the word 'vector' came from?

Page 21 of the study notes, at the bottom of the page:
1642357201273-png.3551


Are vectors used to represent the PnL of instruments weighted by their mapped Risk Factor? (such as length of the vector = PnL and direction of the vector = up for profit and down for loss?)

Thanks in advance!
 

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