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我爱荷包蛋 · 2024年06月15日

这道题的答案数值是不是有误

  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 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)).

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，答案选项没改？

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1 个答案

发亮_品职助教 · 2024年06月15日

是的哈，查了勘误和25的原版书，选项都还是没改，应该是计算过程中四舍五入的问题，所以导致A选项和计算出来的精确数据有一点差距，但是还比较接近。

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