开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

宇宙球求 · 2024年07月12日

请问置信区间的数值考试会给到吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007102

问题如下：

(2) 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 1.50 bps 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 1.50 bps yield volatility over 21 trading days equals 16 bps = (1.50 bps × 2.33 standard deviations × 211/2). 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)).

即99% confidence interval (equal to 2.33 standard deviations) 这些

添加评论
1 个答案
已采纳答案

发亮_品职助教 · 2024年07月13日

这些一般会给到。

  • 1

    回答

  • 1

    关注

  • 131

    浏览
相关问题

NO.PZ202303270300007102 问题如下 (2) Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 1.50 bps 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 1.50 bps yielvolatility over 21 trang ys equals 16 bps = (1.50 bps × 2.33 stanrviations × 211/2). 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，我按照基础班讲义“P335-336”的例题做的，按照讲义的做法，当给出的是0.8bps，是利率变动波动率即σ(△y/y)，所以需要转换成利率波动率，即σ(△y)=y×σ(△y/y)=4%×0.8%，再进行计算。若按照基础班讲义做，此题已知的是bps，应该也是利率变动波动率吧？则σ(△y)=2.85%×1.5%=0.0428%VaR=2.33×0.0428%×21^½=0.4569%VaR=(-9.887)×0.4569%×(75,000,000×104.0175/100) = -3,524,141.74答案没有该，是我哪一块理解错了，还是答案有问题呢？

2024-08-06 01:00 1 · 回答

NO.PZ202303270300007102 问题如下 (2) Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 1.50 bps 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 1.50 bps yielvolatility over 21 trang ys equals 16 bps = (1.50 bps × 2.33 stanrviations × 211/2). 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)). 讲义里公式是change in bonposition=-ration*change in YTM*MktValue, 这里(–9.887 × .0016)就已经算出新加入portfolio的价格变动率了，直接乘以market value不行吗， 还是说change in bonposition这个公式算的也是percentage change in bonprice?

2024-08-03 01:17 1 · 回答

NO.PZ202303270300007102 问题如下 (2) Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 1.50 bps 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 1.50 bps yielvolatility over 21 trang ys equals 16 bps = (1.50 bps × 2.33 stanrviations × 211/2). 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)). 'the expectechange in yielbaseon a 99% confinintervfor the bonana 1.50 bps yielvolatility over 21 trang ys equals 16 bps = (1.50 bps × 2.33 stanrviations × 211/2).'老师可以列一下公式吗？ 公式不是 me+/- k* s吗？

2024-06-30 12:47 1 · 回答

NO.PZ202303270300007102问题如下 (2) Whis the approximate Vfor the bonposition a 99% confininterv(equto 2.33 stanrviations) for one month (with 21 trang ys) if ily yielvolatility is 1.50 bps anreturns are normally stribute A.$1,234,105 B.$2,468,210C.$5,413,133 A is correct. The expectechange in yielbaseon a 99% confinintervfor the bonana 1.50 bps yielvolatility over 21 trang ys equals 16 bps = (1.50 bps × 2.33 stanrviations × 211/2). 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)). 这题麻烦给讲一下，怎么做的

2023-08-02 21:46 2 · 回答