A procedure for representing a financial instrument as a portfolio of zero-coupon bonds for the purpose of calculating its value at risk. This depends on decomposing the cash flows by placing each cash flow into a standalone maturity bucket. Within the value at risk (VaR) calculation, it is crucial to map interest rate cash flows to the available risk points.
Derivatives
Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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