Describe three ways of handling instruments that are dependent on interest rates when the model-building approach is

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Describe three ways of handling instruments that are dependent on interest rates when the model-building approach is used to calculate VaR. How would you handle these instruments when historical simulation is used to calculate VaR?

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Options Futures And Other Derivatives

ISBN: 9780136939979

11th Edition

Authors: John C. Hull

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Question Posted: Mar 27, 2024 02:00 AM

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Describe three ways of handling instruments that are dependent on interest rates when the model-building approach is

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When using the modelbuilding approach to calculate Value at Risk VaR for instruments that are dependent on interest rates there are three common methods to handle them 1 Risk Aggregation Models In thi...View the full answer

Options Futures And Other Derivatives

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