VaR Mapping covers the following:
- Explain the principles underlying VaR Mapping and list and describe the mapping process
- Explain how the mapping process captures general and specific risks
- List and describe the three methods of mapping portfolios of fixed income securities
- Map a fixed-income portfolio into positions of standard instruments
- Discuss how mapping of risk factors can support stress testing
- Explain how VaR can be used as a performance benchmark
- Describe the method of mapping forwards, commodity forwards, forward rate agreements,and interest-rate swaps
- Describe the method of mapping options
Duration: 2 hours