# Covariance Interest Rate Risk Time Series

If $v$ is a vector of DV01 ezposures versus your various risk factors/buckets and $\Sigma$ is your covariance matrix tegen portfolio (delta-normal) Var is given by $$\alpha \sqrt{v^T \Sigma v }$$ where $\alpha$ is some point from the inverse cumulative normal.this gives you risk in cash (money) terms rather than % losses.