hard · FRM Part 2 Market Risk
A bank holds a 5-year par bond with a Macaulay duration of 4.63 years. The current yield is 4%. To map the risk to a 3-year vertex using duration mapping, the analyst needs the vertex VaR.
If the 2-year vertex VaR is 0.92% and the 3-year vertex VaR is 1.48%, what is the interpolated VaR for a 4.63-year duration if only the 2y and 3y vertices were available?
- 2.39%
- 1.32%
- 1.20%
- 1.48%
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