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Diversified bond value at risk (VaR)

Bionic Turtle

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Diversified bond value at risk (VaR)

17 695 просмотров · 18 лет назад
Bionic Turtle
107 тыс. подписчиков
17 695 просмотров · 18 лет назад
Previously, I showed the calculation of the un-diversified VaR of the two-asset bond portfolio. Today I explain Jorion's Table 11-4 which calculates diversified value at risk (VaR) for the same bond portfolio. The key difference is that diversified VaR should be lower to reflect the benefit of imperfect correlations.