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dauphinois16 · 2023年03月25日

计算

  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)).

课上不是说Daily yield volatility是deltaY/Y 的volatility吗？要再乘一个ytm计算deltaY 的volatility 。这题目描述不是和课上例题一样么，怎么是不同的做法？或是我理解的不对

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1 个答案

pzqa015 · 2023年03月25日

嗨，努力学习的PZer你好：


这道题错了哈，以基础班讲的为准。

这道题是去年原版书就有的题，但是今年协会对做法做了修正，以基础班讲义的为准。原来的做法就认为0.015%是y的波动率，也就是答案解析的那样。但今年协会给改成0.015%是△y/y的波动率，也就是最新基础班讲义的做法。额，如果是几个bps这样表述的，就认为是σ(y)，如果是百分比0.015%这样表述的，就认为是σ(∆y/y)。

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