开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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

添加评论
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。

----------------------------------------------
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

----------------------------------------------
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

  • 2

    回答

  • 3

    关注

  • 740

    浏览
相关问题

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 我记得学二级的时候我们计算99%的VaR用的是 μ - 2.33 σ, 本题计算中只用了2.33σ 去算，μ默认取0，这是什么原因？另外YTM这里为什么不用在计算中呢？谢谢老师~

2024-07-21 12:32 1 · 回答

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 请问本题是做了修正吗？默认0.015% yielvolatility是针对y的，不是lta y/y 吗

2024-07-17 23:50 2 · 回答

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 老师您好，我按照答案公式计算，得到的结果是$1,235,347。是不是协会把计算公式改了，答案没改？

2024-06-15 10:03 1 · 回答

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 啥时候开始算VaR要算上price和ytm?VaR不是|μ-2.33×σ|×market value 吗我算的是 0.015%×√21×2.33×73million 答案跟A相近才选的A，但是不理解为什么解析里面要多乘上的价格和收益率。

2024-02-04 16:24 2 · 回答

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 日度VaR，变成月度VaR，乘以根号21，是计算公式，没问题；日度VaR的计算公式里没有久期，所以，为什么要乘以久期？

2024-01-07 16:36 3 · 回答