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聂赫留朵夫 · 2022年03月19日

3级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)).

我也和上一位同学一样，根号21 * 1.5% * 2.33 = 16%，不是16bp。何老师在经典题里也直接给出YTM的VAR是16bp的答案，没有细说。但是在基础班一模一样的例题，我用一样的运算能算出YTM的VAR是0.85%，这是正确答案，同样运算逻辑这道题我算的是16%而不是0.016%。是不是有什么细节要考虑。

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jiajia11 · 2022年03月20日

我上周也问了同样的问题，老师给的解答是根据Var的公式，于Var的单位应该与μ保持一致，μ是利率，单位是%，所以Var的单位也应该是%。计算结果为：-1.5%*21^(1/2)*2.33=-0.16，即-0.16的单位是% 那请问老师是不是基础班例题的0.85%需要修正? 谢谢

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pzqa015 · 2022年03月21日

嗨，努力学习的PZer你好：


不好意思同学，教研组老师重新讨论以后，发现题库这道题的答案不正确，就按照讲义这道题的解法来计算吧

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

聂赫留朵夫 · 2022年03月21日

好的谢谢老师解惑

pzqa015 · 2022年03月22日

嗨，努力学习的PZer你好：


加油

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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！

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