VaR Mapping
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Über den Vortrag
Der Vortrag „VaR Mapping“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Market Risks“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- VaR Mapping
- Mapping of Fixed Income Securities
- Mapping a Fixed-Income Portfolio
- Method of Mapping
- Stress Testing
- Benchmarking a Portfolio
- Mapping of Forwards
- Method of Mapping Options
- Questions
Dozent des Vortrages VaR Mapping
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
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Auszüge aus dem Begleitmaterial
... prices across positions in any given portfolio. Benefits. No need to manage the risk of each individual position separately but concentrate on the common risk across the portfolio. Simplifies the risk management process. Helps evaluate ...
... the risk of the bond. 3.Cash flow mapping: This is the most precise method. The entire risk of the bond is broken into risks of the PV of each of the bonds' cash flows separately and, those separate parts are mapped onto the ...
... portfolio. Assume a fixed-income portfolio of two 3-year annual coupon bonds: Short INR 100 lac worth of bonds paying 8% annual coupon. Long INR 10 lac worth of bonds paying 10% annual coupon. The short position's obvious negative cash flows ...
... linear assets. Delta-normal method provides good estimates of VaR for such assets as their values are a linear combination of a few general risk factors, which have volatility and correlation data available easily. For options, the delta-normal method can be applied keeping in mind ...
... then revalue the portfolio. Difference between the original portfolio and the revalued portfolio will be equal to the undiversified Va R. The method of stressing each zero by its VaR is ...
... always be measured wrt. to that of the benchmark portfolio. Portfolios can then be constructed by matching the ...
... three separate risk positions. A short-position on a US -treasury bill. A long-position in a 1 -yr Euro bond. A long -position in the Euro spot market. Given the volatilities of each position and the correlation matrix the VaR for the individual risk positions ...
... however exhibit a non-linear relationship. The delta-normal method can still be applied as the value of the option can be expressed as the product of the option delta and the underlying asset. ...
... 2.Use VaR Mapping techniques to find the uncorrelated VaR at 95% of EUR 100 Million Forward Contract ...
... for fixed income securities; A. Principal VaR mapping B. Duration based mapping C. Cash Flow based mapping D. Weighted Average mapping 4. Calculate VaR based on duration mapping approach. ...
... 3.C. Correct answer is cash flow based mapping. 4.B. Interpolation between 1.97 and 4.76, ...
