Exercise Solution 9.1

The interest rate cap remapping is most analogous to the third of the fixed cash flow remappings. In both remappings, the position of the proxy asset within each bucket as well as the holdings in each proxy asset were allowed to vary.

In the first and second fixed cash flow remappings, the positions of the proxy cash flows were pre-specified within each bucket.

 

Welcome!

Enter your address for insights that will transform your risk management.

Click the link in the email I just sent you to confirm your address and start your subscription.

Defining Risk

Enter your email address to receive your copy and subscribe to Glyn's Risk Management Newsletter.

Click the link in the email I just sent you to download your paper and start your subscription.