来自：FRM > 一级 > Valuation and Risk Management 2020-09-24 21:20
请问老师这道题怎么解？？
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linxiaofan
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1520天前
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linxiaofan
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21
上次登录
1520天前
jason 2020-09-25 09:32
致精进的你:
同学，At 1% probability level change in interest rate is 1.20% or higher. Change in portfolio value for a 120bps change in rates=120*50000=6000000. VaR=6000000
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