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: USD
1.65
USD 2.33
C.USD 1.16
D.USD 0.82
解释:
ANSWER: A
The dollar duration of the portfolio is 1 . 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?