标题: [CFA入门] [求指教]请教一道有关固定收益债券的题目 [打印本页]

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作者: Maddin    时间: 2012-6-15 10:50     标题: [求指教]请教一道有关固定收益债券的题目

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?
a. USD 1.65
b. USD 2.33
c. USD 1.16
d. USD 0.82
求高手指点，不胜感激

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作者: cfa10yrplan    时间: 2012-6-15 10:50

1.645 *  1% * 10 * 5  = 0.8225

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作者: PieMan    时间: 2012-6-15 10:50

是A吧，portfolio价值是20。

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作者: defour44    时间: 2012-6-15 10:50

portfolio的dollar duration是10*1+10*9=100，乘以yield change1%，再乘以1.65。
或者说，portfolio的平均modified duration是5，乘以portfolio value20，乘以yield change1%，再乘以1.65。

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作者: iteracom    时间: 2012-6-15 10:50

谢谢指点。

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