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)).
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
答案没有该选项，是我哪一块理解错了，还是答案有问题呢？
