老师，下午好，这题有个新问题，我看大家都没有提问过，请问，这题是要求计算 月度的 VaR，为什么要乘以久期？

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 我记得学二级的时候我们计算99%的VaR用的是 μ - 2.33 σ, 本题计算中只用了2.33σ 去算，μ默认取0，这是什么原因？另外YTM这里为什么不用在计算中呢？谢谢老师~

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 请问本题是做了修正吗？默认0.015% yielvolatility是针对y的，不是lta y/y 吗

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 老师您好，我按照答案公式计算，得到的结果是$1,235,347。是不是协会把计算公式改了，答案没改？

NO.PZ202112010200002202 问题如下 Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 0.015% anreturns are normally stribute A.$1,234,105 B.$2,468,210 C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 0.015% yielvolatility over 21 trang ys equals 16 bps = (0.015% × 2.33 stanrviations × √21). We cquantify the bons market value change multiplying the famili(–Mour × ∆Yiel expression bonprito get $1,234,105 = ($75 million × 1.040175 ⨯ (–9.887 × .0016)). 啥时候开始算VaR要算上price和ytm?VaR不是|μ-2.33×σ|×market value 吗我算的是 0.015%×√21×2.33×73million 答案跟A相近才选的A，但是不理解为什么解析里面要多乘上的价格和收益率。