时间:2018-03-19 16:28 作者:FRM 来源:FRM
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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