Value (VaR) Mapping a fixed-income portfolio (FRM T5-05)

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Bionic Turtle

Күн бұрын

Пікірлер: 11

@yuanxu437 5 жыл бұрын

Your videos are so underrated. Comprehensive and understandable, great presentation

@MikFrey 5 жыл бұрын

Great video as usual. A quick question came to my mind and which is somehow related to the problem I had at work. Let's say we have these risk factors and it covers one risk type interest rate, however such bond would be also subject to change of credit rating. Then if a credit rating drops the price will also drop even if interest rates stay the same. Is there any simple idea how to look at 2 types of risk in the same time? For example add something to principal and duration mapping which would also include potential drop in credit rating?

@bionicturtle 5 жыл бұрын

Thank you! Great question, but as it more advanced we prefer you post to our forum (where FRM candidates, charterholders, and other experts might assist). The location for this video is given in the description: www.bionicturtle.com/forum/threads/t5-05-value-var-mapping-a-fixed-income-portfolio.22889/

@jaylev85 4 жыл бұрын

It sounds like your asking about decomposing Interest risk into multiple component's which would include spread risk among others... inflation risk, etc. Duration is only a limited metric in this regard.. you'd need to combine a more sophisticated model of spread risk vs short rate risk etc. The credit spread is the determinant of the term structure so i would argue its just a diff way of looking at the same problem which this video was meant to simplify at a very high level... if you want to quantify a potential hit to market value from downgrades, etc. I'd use a transition matrix. I hope i understood the question correctly. i think there are issues with your statement so i may have misunderstood

@MikFrey 4 жыл бұрын

@@jaylev85 Thanks Jason I think you got it my question. Transition matrix would be great, but actually my company doesn't use any. Duration is nice but unfortunately too limited. We currently use simplified approach so we try to identify primary risk for the trade and put it into on category. It's not true and from more complex products has a lot of problems, but it was used for reporting so... ;)