问题如下:
Previous question:Suppose a portfolio has an exposure of +50 to a one basis-point increase in the five-year Treasury rate in Table 13.1, an exposure of -100 to a one-basis-point increase in the ten-year Treasury rate in Table 13.1, and no other exposures.
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
在请问一下老师:
Factor loading: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 loading是个什么单位啊?
为什么可以直接做权重来算protfolio的std呢?