AVP Finance Interview Questions and Answers

Swaption risk factors for VAR are interest rate volatility, optionality, and correlation.

• Interest rate volatility affects the value of the underlying asset and the option itself.

• Optionality refers to the ability to exercise the option, which affects its value.

• Correlation between the underlying asset and interest rates affects the option's value.

• Other factors include time to expiration, strike price, and market liquidity.

• VAR measures the potential loss in value of a portfolio ...read more