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Luhunlu · 2022年03月24日

老师，组合的Duration不用加权平均的吗？

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2016082402000054

问题如下：

A portfolio consists of two zero-coupon bonds, each with a current value of $10. The first bond has a modified duration of one year and the second has a modified duration of nine years. The yield curve is flat, and all yields are 5%. Assume all moves of the yield curve are parallel shifts. Given that the daily volatility of the yield is 1%, which of the following is the best estimate of the portfolio’s daily value at risk (VAR) at the 95% confidence level?

选项：

A.

USD 1.65

B.

USD 2.33

C.

USD 1.16

D.

USD 0.82

解释：

ANSWER: A

The dollar duration of the portfolio is 1×$10+9×$10=$100\times\$10+9\times\$10=\$100 . Multiplied by 0.01 and 1.65, this gives $1.65.

老师，我总是分不清什么时候在组合里要用加权平均算，portfolio duration&convexity章节里不是都用的加权平均吗？

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1 个答案

品职答疑小助手雍 · 2022年03月24日

同学你好，加权平均的权不就是比例嘛，你要明白权这个比例是什么意思，它其实就是value所占的比重，所以用各自的value算其实就是期权平均。

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