临江仙 · 2020年04月01日
问题如下：
Using Table 13.2, calculate the standard deviation of the daily change in the portfolio in the previous question based on its exposure to the first two factors.
选项：
解释：
Using Table 13.2, the standard deviation is
(14.152 × 20. 92 + 4.912 × 29.452 )1/2= 329.19
请教答案中20.9和29.45是怎么来的，谢谢
NO.PZ2020011303000237问题如下 Suppose a portfolio hexposure of +50 to a one basis-point increase in the five-yeTreasury rate in Table 13.1, exposure of -100 to a one-basis-point increase in the ten-yeTreasury rate in Table 13.1, anno other exposures. Using Table 13.2, calculate the stanrviation of the ily change in the portfolio above baseon its exposure to the first two factors. The exposure to one unit of the first factor is 50×(−0.410)−100×(−0.414)=20.950\times(-0.410)-100\times (-0.414)=20.950×(−0.410)−100×(−0.414)=20.9The exposure to one unit of the seconfactor is 50×0.203−100×(−0.193)=29.4550\times0.203-100\times(-0.193)=29.4550×0.203−100×(−0.193)=29.45Using Table 13.2, the stanrviation is14.152×20.92+4.912×29.452=329.19\sqrt{14.15^2\times20.9^2+4.91^2\times29.45^2}=329.1914.152×20.92+4.912×29.452=329.19题目问假设有一个组合，当5年的treasury利率上升1bp时，exposure变成+50；10年的treasury利率上升1bp时，exposure变成-100。没有其他的exposure。根据图表与前两个factors，计算一天的组合标准差。先根据下图前两个factor，求组合的exposure。factor 150 × (−0.410) − 100 × (−0.414) = 20.9factor 250 × 0.203 − 100 × (−0.193) = 29.45组合标准差=14.152×20.92+4.912×29.452=329.19\sqrt{14.15^2\times20.9^2+4.91^2\times29.45^2}=329.1914.152×20.92+4.912×29.452=329.19 对于计算组合方差疑问，应该用组合的权重乘以各自因素的方差，不应该是绝对值。谢谢
NO.PZ2020011303000237问题如下 Suppose a portfolio hexposure of +50 to a one basis-point increase in the five-yeTreasury rate in Table 13.1, exposure of -100 to a one-basis-point increase in the ten-yeTreasury rate in Table 13.1, anno other exposures. Using Table 13.2, calculate the stanrviation of the ily change in the portfolio above baseon its exposure to the first two factors. The exposure to one unit of the first factor is 50×(−0.410)−100×(−0.414)=20.950\times(-0.410)-100\times (-0.414)=20.950×(−0.410)−100×(−0.414)=20.9The exposure to one unit of the seconfactor is 50×0.203−100×(−0.193)=29.4550\times0.203-100\times(-0.193)=29.4550×0.203−100×(−0.193)=29.45Using Table 13.2, the stanrviation is14.152×20.92+4.912×29.452=329.19\sqrt{14.15^2\times20.9^2+4.91^2\times29.45^2}=329.1914.152×20.92+4.912×29.452=329.19 如题
在请问一下老师 Factor loang影响因子变动一个单位，利率的变动幅度 题目的意思是不是50个单位影响因子（Factor scores）的敞口对应5年期利率一个BPS 的变动？ Factor scores*Factor loang是个什么单位啊？ 为什么可以直接做权重来算protfolio的st？
(14.152 × 20. 92 + 4.912 × 29.452 )1/2= 329.19 不明白为什么算标准差 把第一问的exposure给放进来？？？
