Hi,
I'm at a loss as to how diversified VaR is computed whe mapping linear derivatives. Undiviersified VaR is easy enough: sum(pv of cash flows x risk).
On page 67 of the official materials it says pre and post multiply by the pv of cashflows to get diversified var. But I don't get what it means.
Does anybody have any ideas please?
Thanks
I'm at a loss as to how diversified VaR is computed whe mapping linear derivatives. Undiviersified VaR is easy enough: sum(pv of cash flows x risk).
On page 67 of the official materials it says pre and post multiply by the pv of cashflows to get diversified var. But I don't get what it means.
Does anybody have any ideas please?
Thanks