想請問一個風險值的問題 - 金融分析師

By Zenobia
at 2009-02-27T19:15
at 2009-02-27T19:15
Table of Contents
各位前輩好 小弟因閱讀證照書籍 有下面一個問題
希望能大家能幫我解惑
根據二階泰勒展開式 可以把債券價格變動表示為
dp=-Dp(dy)+(1/2)*(c*p)(dy)^2-----------------------1
D為 modify duration
y為 殖利率
c為 convexty
接下來書上就直接寫出
VAR(dp)=Dp*VAR(dy)+(1/2)*(c*p)*VAR(dy)^2----------------------2
請問可以大概解釋第一式如何跳到第二式嗎?
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金融分析師
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