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
$2,468,210
$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)).
讲义里公式是change in bond position=-Duration*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 bond position这个公式算的也是percentage change in bond price?