NO.PZ2016082402000054
问题如下:
A portfolio consists of two zero-coupon bonds, each with a current value of $10. The first bond has a modified duration of one year and the second has a modified duration of nine years. The yield curve is flat, and all yields are 5%. Assume all moves of the yield curve are parallel shifts. Given that the daily volatility of the yield is 1%, which of the following is the best estimate of the portfolio’s daily value at risk (VAR) at the 95% confidence level?
选项:
A.
USD 1.65
B.
USD 2.33
C.
USD 1.16
D.
USD 0.82
解释:
ANSWER: A
The dollar duration of the portfolio is 1 . Multiplied by 0.01 and 1.65, this gives $1.65.
一个组合包含两个零息债券,每一个债券价格10,第一个债券的MD=1,第二个MD=9,利率全部是5%。假设利率都是平行移动,每日的波动率为1%,请问95%置信区间下的dailyVaR是多少?
%VAR=σ*Z(0.95)=1%*1.65
95%时z=1.65
组合的Dollar Duration=1*10+9*10=100
VaR=100*1.65*1%=1.65
老师,为什么要乘以dollar value,而不是乘以各自的value10?