Describe three ways of handling interest-rate-dependent instruments when the model building approach is used to calculate VaR.

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

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:21 PM

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Describe three ways of handling interest-rate-dependent instruments when the model building approach is used to calculate VaR.

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The three alternative procedures mentioned in the chapter for handling interest rates when ...View the full answer

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