confidence interval

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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 1.50 bps and returns are normally distributed?

选项：

$1,234,105

$2,468,210

$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)).

考试不同的confidence interval(比如 90% 99%）对应等于多少 standard deviations会给吗比如像这道题目就给出了99%对应2.33SD 还是需要自己每个对应多少都要记住

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1 个答案

发亮_品职助教 · 2025年02月03日

考试会给。自己大概有印象即可：

这个题型基本都是考99%概率下的VaR，99%概率临界值是2.33

90%是1.28

95%是1.645

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