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Cooljas · 2024年04月20日

解释还是没看懂。。这个inverse floater是考试重点吗

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2023091701000090

问题如下：

A portfolio manager invests $100 million in a 5-year inverse floater paying 18% – 2 × LIBOR. Assume that the modified duration of a 6% 5-year bond is 4.5 years, and the inverse floater is just before a reset day. The worst change in yields at the 95% level over a month is 0.66%. What is the VaR of this inverse floater at the 95% level over a month?

选项：

A.$3.0 million B.$5.9 million C.$8.9 million D.$10.5 million

解释：

18% – 2 × L = 3 × 6% – 2 × L

(18% – 2 × L) + (2 × L) = 3 × 6%

DIF = 3 × D6% = 3 × 4.5 = 13.5

VARIF = D × P (worst change in yields) = 13.5 × 100million × 0.66% = 8.91million



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1 个答案

pzqa39 · 2024年04月20日

嗨，爱思考的PZer你好：


这个并不是重点内容，解析里面讲了这么多也只是在告诉我们如何通过题目给出的式子推出反向浮动利息债券的久期是3*4.5，其实更重要更常规的是知道VaR的计算公式=修正久期*本金*变动利率，也就是最后面那一步。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2023091701000090 问题如下 A portfolio manager invests $100 million in a 5-yearinverse floater paying 18% – 2 × LIBOR. Assume ththe mofieration of a6% 5-yebonis 4.5 years, anthe inverse floater is just before a resety. The worst change in yiel the 95% level over a month is 0.66%. Whisthe Vof this inverse floater the 95% level over a month? A.$3.0 million B.$5.9 million C.$8.9 million $10.5 million 18% – 2 × L = 3 × 6%– 2 × L (18% – 2 × L) + (2 ×L) = 3 × 6% F = 3 × % = 3 × 4.5 = 13.5 VARIF = × P (worst changein yiel) = 13.5 × 100million × 0.66% = 8.91million 这里计算vaR为什么没有用95%置信区间1.645

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NO.PZ2023091701000090 问题如下 A portfolio manager invests $100 million in a 5-yearinverse floater paying 18% – 2 × LIBOR. Assume ththe mofieration of a6% 5-yebonis 4.5 years, anthe inverse floater is just before a resety. The worst change in yiel the 95% level over a month is 0.66%. Whisthe Vof this inverse floater the 95% level over a month? A.$3.0 million B.$5.9 million C.$8.9 million $10.5 million 18% – 2 × L = 3 × 6%– 2 × L (18% – 2 × L) + (2 ×L) = 3 × 6% F = 3 × % = 3 × 4.5 = 13.5 VARIF = × P (worst changein yiel) = 13.5 × 100million × 0.66% = 8.91million 如题

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