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标题: Level 1 一道VAR相关的题目 请教 [打印本页]

作者: dellashadow    时间: 2019-3-16 16:25     标题: 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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