
Delta and Historical VaR
This spreadsheet enables verification of historical and delta VaR results, for a single transaction under the following assumptions: the transaction is two-sided, i.e. one floating side and one fixed side; – the transaction
This spreadsheet enables verification of historical and delta VaR results, for a single transaction under the following assumptions: the transaction is two-sided, i.e. one floating side and one fixed side; – the transaction
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