An investor is considering the portfolio impact of a new 12-year corporate bond position with a $75 million face value, a 3.25% coupon, current YTM of 2.85%, modified duration of 9.887, and a price of 104.0175 per 100 of face value.
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 0.015% 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 0.015% yield volatility over 21 trading days equals 16 bps = (0.015% × 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)).
这道题的答案为什么没有乘以2.85%？我记得何老师在押题里提到因为收益率的volatility是yield的变化率而不是绝对值，所以需要乘以yield才能换算出绝对值。
