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toffee · 2023年05月24日

我都服了

  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)).

这道题现在到底有问题没？ volatility is 0.015%是不是对着的，我算出来答案就是A

麻烦把有问必答中错误的东西直接就删除了吧，好费劲啊！别人看起来云里雾里的 没发现哪里错啊

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2 个答案

pzqa015 · 2023年05月26日

嗨，爱思考的PZer你好：


所以这道题是不是按照新的解答方法，没有一个选项是正确的？

--

是的



那以后到底是按照啥思路解

--

0.15% ×2.85%× 2.33 × √21 ×75 million × 1.040175 ⨯ (–9.887），计算Var的时候，要乘y，本题是2.85%。

可以看下截图中的基础班讲义的例题，这道题就是最新方法。

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加油吧，让我们一起遇见更好的自己！

pzqa015 · 2023年05月25日

嗨，从没放弃的小努力你好：


0.015%没问题，这道题也仍然有，但是今年协会对做法做了修正，基础班讲义如下：

需要注意的是，原来的做法就认为0.015%是y的波动率，但今年协会给改成0.015%是△y/y的波动率。

这道题正确的解法如下：

0.15% ×2.85%× 2.33 × √21 ×75 million × 1.040175 ⨯ (–9.887）=35207.40

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努力的时光都是限量版，加油！

toffee · 2023年05月25日

所以这道题是不是按照新的解答方法，没有一个选项是正确的？那以后到底是按照啥思路解

Darkblanca · 2024年02月08日

协会都改答案了你们就不能花点心思把题目和答案修改下？这么多不满付看不到是吧

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