Suppose That You Calculate VaR from Duration

question 7

Essay

Suppose that you calculate VaR from Duration. In your many results you ?nd that:
i. using historical data (of whatever length) or a normal distribution does not a?ect the result; 11
ii. you ?nd that kurtosis between historical data and the normal distri- bution is almost identical;
iii. You ?nd the expected change in the portfolio ?P = 0, with very small standard errors. Given the above, can you say that this Duration based VaR is an appro- priate approach to measure risk?

Grasp the rights and processes involved in mortgage defaults, including foreclosure and the right to equity redemption.

Describe the characteristics, benefits, and drawbacks of different types of mortgages, including fixed-rate, adjustable-rate, and reverse mortgages.

Recognize the legal framework and priority rules under the Uniform Commercial Code (UCC) regarding conflicting security interests.

Comprehend the process and implications of securitization of mortgages.