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Kathy苏苏 · 2022年08月18日

16bp

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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

B.

$2,468,210

C.

$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)).

老师，2.33X1.5%X根号下21不是0.16%吗？怎么是16bp?是1600bp 呀？答案是错了吗？

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1 个答案

pzqa015 · 2022年08月18日

嗨，努力学习的PZer你好：


这道题的条件错啦，σ应该是0.15%而不是1.5%

----------------------------------------------
努力的时光都是限量版，加油！

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