NO.PZ2023091701000049
问题如下：
The CRO of a small bank is estimating the volatility of the bank’s asset portfolio using its key rate 01s, in preparation for calculating the bank’s market risk capital. The portfolio is only exposed to 2-year and 10-year spot rates. Relevant information on market rates and the portfolio is as follows:
Given the above information, what is the standard deviation of the daily change in portfolio value?
选项：
A.CAD 516
B.CAD 988
C.CAD 1,026
D.CAD 1,203
解释：
D is correct. The equation for the variance of the change in portfolio value is:
The standard deviation is therefore: 14480761/2 = 1,203.36.
A is incorrect. This calculates the variance as = [0.6*4*11*52*97] + [0.6*11*4*97*52].
B is incorrect. This calculates the variance as = [0.6* (4)2*(52)2] + [0.6*(11)2*(97)2].
C is incorrect. This calculates the variance without the KR01 terms, and then multiplies the result by the average of the KR01s.
老师，1、这道题不是针对key rate吗？为什么表格里给的都是spot rate，不是par rate？
2、听了视频也不是很理解为什么value的标准差等于利率的标准差*key rate 01
key rate 01不是已经是利率变动1bp，delta p的变动量吗？delta p难道不是资产的value？
