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FRM一级
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A portfolio manager invests $100 million in a 5-year inverse floater paying 18% – 2 × LIBOR. Assume that the modified duration of a 6% 5-year bond is 4.5 years, and the inverse floater is just before a reset day. The worst change in yields at the 95% level over a month is 0.66%. What is the VaR of this inverse floater at the 95% level over a month? 此题把18%-2L拆分的话不也应是(3*6)%-2L么?为什么是拆成了3*6%-2L?那这样两边怎么能相等? 谢谢
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