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宇宙球求 · 2024年07月12日

请问置信区间的数值考试会给到吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007102

问题如下：

(2) 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 1.50 bps 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 1.50 bps yield volatility over 21 trading days equals 16 bps = (1.50 bps × 2.33 standard deviations × 211/2). 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)).

即99% confidence interval (equal to 2.33 standard deviations) 这些

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发亮_品职助教 · 2024年07月13日

这些一般会给到。

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