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Level 1 一道VAR相关的题目 请教

Consider a portfolio of derivatives on fixed income securities and interest rates. If a Taylor Series approximation is used to estimate the delta normal value at risk for the individual derivatives in the portfolio, which of the following positions will have a substantially improved estimate of value at risk?

1. Interest rate cap on 3-month LIBOR
2 Forward rate agreement on 6-month LIBOR
3 6-month call option on Treasury bonds

为什么是1 和3

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上一主题:培训机构FRM二级笔记(求培训发票,上海,QQ441524251)
下一主题:Can anyone pl share the GARP FRM Part 2 2019 Notes.