A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard deviation is 10bp (0.1%) and expected daily yield change 0.01%. What is a one-month 5% VaR for the Bond using delta- normal approach? Assume 20 trading days in a month and provide $ answer. O a. $7.96 O b. $27.63 O c. $43.25 d. $11.46

A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard deviation is 10bp (0.1%) and expected daily yield change 0.01%. What is a one-month 5% VaR for the Bond using delta- normal approach? Assume 20 trading days in a month and provide $ answer. O a. $7.96 O b. $27.63 O c. $43.25 d. $11.46

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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