题目
A risk manager would like to measure VaR for a bond. He notices that the bond has a puttable feature. What effect on the VaR will this puttable feature have?
选项
A.The VaR will increase.
B.The VaR will decrease.
C.The VaR will remain the same.
D.The effect on the VaR will depend on the volatility of the bond.
答案
B
解析
With a puttable feature, the investor is long an option, because he or she can "put" back the bond to the issuer. This will create positive gamma, or lower VaR than otherwise.具有可售回功能，投资者长期以来可以选择，因为他或她可以将债券“返还”给发行人。 这将产生正的伽玛值，或比其他方式降低VaR。