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豆好 · 2022年03月07日

计算？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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% 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% yield volatility over 21 trading days equals 16 bps = (1.50% × 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)).

根号21 * 1.5% * 2.33 = 0.16 怎么会是16BP？


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1 个答案

pzqa015 · 2022年03月21日

嗨，从没放弃的小努力你好：


这道题是原版书课后题，题目出错了，后面后台老师会调整这道题。

以讲义这道题的解法为准哈

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