NO.PZ202112010200002202
问题如下:
What is the approximate VaR for the bond position at a 99% confidence interval (equal to 2.33 standard deviations) for one month (with 21 trading days) if daily yield volatility is 0.015% and returns are normally distributed?
选项:
A.$1,234,105
$2,468,210
$5,413,133
解释:
A is correct. The expected change in yield based on a 99% confidence interval for the bond and a 0.015% yield volatility over 21 trading days equals 16 bps = (0.015% × 2.33 standard deviations × √21).
We can quantify the bond’s market value change by multiplying the familiar (–ModDur × ∆Yield) expression by bond price to get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)).
不好意思老师 我的公式记得不是很清楚 能说明一下VaR给出日、月、年sigma下的公式吗?