thanhtam92
Active Member
Does anyone know where I can find the excel spreadsheet that shows calculations for VaR Mapping? I looked into Study Note and PPT slides but could not find any links? @Nicole Seaman please show me if you can. Thanks
Mapping VaR
- Thread starter thanhtam92
- Start date
Hi @thanhtam92 here are the basic VaR mapping spreadsheets (from the second learning workbook, T5-MR4_to_MR5-Jorion):
https://www.dropbox.com/s/m82nv69wx3ld6vx/var-mapping.xlsx?dl=0
The second sheet ("VaR-Mapping-Jorion-Ch-11" is the one that I start with for all of the Fixed Income VaR mapping, it replicates Jorion's exhibits and adds many other features). I hope that's helpful!
https://www.dropbox.com/s/m82nv69wx3ld6vx/var-mapping.xlsx?dl=0
The second sheet ("VaR-Mapping-Jorion-Ch-11" is the one that I start with for all of the Fixed Income VaR mapping, it replicates Jorion's exhibits and adds many other features). I hope that's helpful!
Similar threads
- Sticky
- Sticky
- Sticky