The December 2022 issue of Pathways is now available! In this month’s issue, Anthony Schrader focuses on the Value at Risk or VaR framework in the System, which estimates the risk of the portfolio using historical market data over a specified time frame. Furthermore, he outlines how historical market data can be retrieved if not already captured and how additional data points such as SOFR volatility can be added to the market rate structure. To access the newsletter please click here.
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