FRM二级精选题型解析:The price value of a basis

The price value of a basis point (PVBP) of a bond portfolio is $45,000. Expected changes in interest rates over the next year are summarized below:
 
Change in Interest rates Probability
>+1.50% 1%
+1.00-1.49% 29%
0.00-0.99% 20%
-0.99-0.00% 45%
<-1.00% 5%

What is the value at risk (VAR) for the bond portfolio at a 99 percent confidence level?

A) $6,750,000.

B) $2,250,000.

C) $4,500,000.

D) $7,850,500.

自己先做~

做完之后滑这儿,就能对答案





 


 

A was correct

At 1% probability level change in interest rates is 1.50% or higher.

Change in Portfolio value for a 150 bps change in rates = 150*45000 = 6,750,000 VAR = 6,750,000.

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