Category: Swatches

VaR Mapping of Forward Rate Agreement

In this short video from FRM Part 2 curriculum, we take a look at how to map a long position in a T1xT2 Forward Rate Agreement onto a long position in a Zero Coupon Bond (ZCB) of maturity T1 and a short maturity in a ZCB of maturity T2.
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Netting Factor: A Close Look

In this short video from FRM Part 2, we explore this concept of netting factor – a number used to gauge the extent of netting related benefits that have been realised.
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Standard Brownian Motion / Wiener Process

In this video, we take a look at the Standard Brownian Motion (Wiener Process) – an important building block that we encounter in the four readings on Interest Rate Models (FRM Part 2, Market Risk).
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Tailing the Hedge

In this short video from the FRM Part 1 curriculum, we explore this concept of “Tailing the Hedge”. It is defined as the reduction in the quantity of futures based hedge required, if you were to take into account the daily settlement feature.
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Lognormal VaR: An alternative look

In this video from FRM Part 2, we explore this concept of lognormal VaR – we lay down the assumptions, perform a quick derivation and then solve a numerical example illustrating how lognormal VaR is calculated.
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Valuing Interest Rate Swaps: Offsetting Swap Method

In this video from FRM Part 1, we explore an alternative approach for valuing interest rate swaps – the offsetting swap method. We make ourselves familiar with the steps in this approach and then apply it to a simple solved example.
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Marginal VaR: A Quick Look

In this video from FRM Part 2, we explore this concept of Marginal VaR – a portfolio risk tool that helps us perform linear approximations for changes in VaR and realize risk-return tradeoffs.
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