Difference between value at risk and expected shortfall

Reference no: EM131239525

1. Explain how an interest rate swap is mapped into a portfolio of zero-coupon bonds with standard maturities for the purposes of a VaR calculation.

2. Explain the difference between value at risk and expected shortfall.

3.Explain why the linear model can provide only approximate estimates of VaR for a portfolio containing options.

Reference no: EM131239525

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