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title: Chapter 6 Analytical value-at-risk for options and bonds
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<h1 id="analytical-value-at-risk-for-options-and-bonds">Analytical value-at-risk for options and bonds</h1>
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<li><p>Briefly explain the problem of asymmetry in bond risk analysis?</p></li>
<li><p>What does the modified duration of a bond measure?</p></li>
<li><p>What factors affect the accuracy of duration-normal VaR for bonds?</p></li>
<li><p>What computational issue arises when using the Delta-Gamma method for option VaR?</p></li>
<li><p>Why are the methods in this chapter not recommended for most applications?</p></li>
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