Thursday, November 4, 2010

VaR for cash bonds

I believe Reo doesn’t calculates VaR. However, the cash bond positions might be analyzed by some other system. Result is probably posted to the Risk website, but what data?

 

Most basic is Perhaps dv01 at position level and rolled up to account level. If you have a price-yield convertor, and you know the current price (perhaps chosen by a trader), you can calculate the price at 1 bps above the present yield and the price 1 bps below the present yield. You can get your own dv01.

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