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聂赫留朵夫 · 2022年03月15日

三级Fix income Credit strategy里关于VaR

  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)).

这道题有问题，这一问相当于基础课里例题的第一小问，让我们算VAR，没让我们算change of position（这是例题第二小问）。

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pzqa015 · 2022年03月17日

嗨，努力学习的PZer你好：


是这个意思。

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pzqa015 · 2022年03月16日

嗨，努力学习的PZer你好：


你没乘Modified duration=9.887

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加油吧，让我们一起遇见更好的自己！

聂赫留朵夫 · 2022年03月16日

计算Var of bond position意思就是计算bond价格改变量，请问老师是不是这个意思。谢谢

pzqa015 · 2022年03月15日

嗨，努力学习的PZer你好：


问的是Var of bond position，所以要计算债券value的Var。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

聂赫留朵夫 · 2022年03月15日

答案算的价格变动：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)). 我算的VAR 值是2.33 ⨯1.5% ⨯√21×75m×104.0175%=1,249,466

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