Analysis of a portfolio of various financial instruments
The Portfolio VaR Calculator 2 calculates the Value at Risk (VaR) of a portfolio of interest-rate-sensitive products using a unified, historically estimated covariance matrix. Unlike approaches that consider each risk factor in isolation, this calculator simultaneously captures correlations between all risk factors, both within a single currency area and across different currency areas.
The following financial products are included:
-3 bonds
-2 swaps
-2 FX forward positions
-2 cross-currency swaps
The portfolio VaR of all positions is calculated, and a sensitivity analysis is performed.
Risk assessment of a portfolio of interest rate sensitive instruments
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