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

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Describe three alternative ways of handling interest-rate-dependent instruments when the modelbuilding 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: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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

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Options Futures And Other Derivatives

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