Abstract
The exercices in this document deal with the different risk measures, the paramaters of the VaR model, the evaluation factors of risk management capabilities and define some concepts.
Extract: "Describe the advantages and disadvantages for each of the following risk measures: DV01 (2)
Advantages :
- Easy to read and understand
- It allows to see the higher risk level of future trade
- It facilitates the calculation of the BPV (basis point value, which is a method used for calculating the interest rate risk)
- If you know the BPV and the link with DV01, you can use the financial tools for knowing the cash flow and also calculate BPV for money market and swaps."
