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

游游 · 2024年11月08日

95%置信区间

  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

这里计算vaR为什么没有用95%置信区间1.645

添加评论
1 个答案
已采纳答案

李坏_品职助教 · 2024年11月08日

嗨，从没放弃的小努力你好：


这道题其实已经算出来yield的VaR了，就是 0.66%.

最后问你，inverse floater债券的VaR是多少？


任何债券的价值变动都 = -久期 * 利率的变动。

所以债券的VaR = 久期 * 利率的VaR（也就是0.66%）。

那就需要算一下这个inverse floater债券的久期就行了，久期是13.5，所以债券的VaR = 13.5 * 利率的VaR 0.66% = 0.0891. 最后乘以组合的价值100million。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 33

    浏览
相关问题

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 millionB.$5.9 millionC.$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 老师好，“一个普通的固定利息债券（题目给了是6%的coupon bon = 一个libor浮动利息债券 + 一个libor反向浮动债券”这是为什么？什么原理？

2024-09-04 21:16 8 · 回答

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

2024-04-20 09:37 1 · 回答

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

2023-10-23 21:58 1 · 回答