VAR and FIXED INCOME portfolio

CFA Level III Derivatives
#1

Hi there,

does it make sense in your opinin to use VAR as parameter to monitor the Market risk of an Fixed Income portfolio (which is 95% Fix Income and 5% Equity and AI) ?

thanks

#2

Why not?

I think that it makes perfect sense.

#3

Cause VAR (especially the analytical method ) is pretty much related to std dev and std dev changes along the timeline

Shouldn’t it be more appropriate Portfolio DUR as Risk measure of the Fix Income ptf?

thanks S2000 Magician.