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jacqie · 2022年04月05日

dollar duration在讲义中有提到么

NO.PZ2016082402000054

问题如下:

A portfolio consists of two zero-coupon bonds, each with a current value of $10. The first bond has a modified duration of one year and the second has a modified duration of nine years. The yield curve is flat, and all yields are 5%. Assume all moves of the yield curve are parallel shifts. Given that the daily volatility of the yield is 1%, which of the following is the best estimate of the portfolio’s daily value at risk (VAR) at the 95% confidence level?

选项:

A.

USD 1.65

B.

USD 2.33

C.

USD 1.16

D.

USD 0.82

解释:

ANSWER: A

The dollar duration of the portfolio is 1×$10+9×$10=$100\times\$10+9\times\$10=\$100 . Multiplied by 0.01 and 1.65, this gives $1.65.

讲义中提到的都是duration和dv01,一个是%的概念,一个是dollar的概念,但是没有提到过dollar duration,所以dollar duration就是duration*market value?

1 个答案

DD仔_品职助教 · 2022年04月05日

嗨,从没放弃的小努力你好:


同学你好,

是的

讲义确实没提到,这里当个补充记忆一下

dollar duration是duration的dollar形式,就等于资产的市值*资产的duration。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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