VaR Mapping of Forward Rate Agreement
1. Context
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. The details of the reading in which this topic appears are given below:
| Area | Market Risk |
| Reading | VaR Mapping |
| Reference | Chapter 11. VaR Mapping In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw- Hill, 2007). |