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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A Treasury bond that matures in 10 years has a yield of 4.50%. A 10-year corporate bond has a yield of 9.25%. Assume that the liquidity premium on the corporate bond is 0.25%. What is the default risk premium on the corporate bond? Round your answer to two decimal places. %
a $1000 face value bond has a 9.0% coupon and pays interest semiannually. The bond matures in 2 yeas and has a yield to maturity of 6.5%. what is the Macaulay duration? *Please show work, DO NOT USE EXCEL*
A 6% semiannual coupon bond matures in 5 years. The bond has a face value of $1,000 and a current yield of 6.8877%. What is the bond's price? Do not round intermediate calculations. Round your answer to the nearest cent.$ What is the bond's YTM? (Hint: Refer to Footnote 6 for the definition of the current yield and to Table 7.1) Do not round intermediate calculations. Round your answers to two decimal places. %
You have the following information regarding the bond ABC. Semiannual $25 payments YTM 8% Maturity (in 4. years) Par value $1,000 Let's assume the modified duration of this bond is 4. Based on this assumption and using the modified duration, estimate the price of the bond after a 65-basis-point decrease in interest rates.
A Treasury bond that matures in 10 years has a yield of 4.75%. A 10-year corporate bond has a yield of 9.25%. Assume that the liquidity premium on the corporate bond is 0.60%. What is the default risk premium on the corporate bond? Round your answer to two decimal places. %
a bond has an annual modified duration of 6.25 years and an annual convexity of 45.25. If the bond's yield to maturity decreases by 50 basis points, the expected percentage price change is closest to: a)3.07% b)-3.07% c)-2.65%
D Bond P is a premium bond with a 9 percent coupon. Bond D is a 4 percent coupon bond currently selling at a discount. Both bonds make annual payments, have a YTM of 6 percent, and have four years to maturity. What is the current yield for Bond P and Bond D? (Do not round intermediate calculations and round your final answers to 2 decimal places. (e.g., 32.16)) Bond P Bond Current yield 8.15% 4.30 % If interest rates remain unchanged, what is the expected capital gains yield over the next year for Bond P and Bond D? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations and round your final answers to 2 decimal places. (e.g., 32.16))) Bond P Bond D Capital gains yield -2.15 % 1.70 %
A bond currently has a price of $1,050. The yield on the bond is 6%. If the yield increases 27 basis points, the price of the bond will go down to $1,028. The duration of this bond is __________ years. (Select the closest answer.) Multiple Choice 7.32 8.27 8.42 7.78
A bond with a 9-year duration is worth $1,086, and its yield to maturity is 8.6%. If the yield to maturity falls to 8.38%, you would predict that the new value of the bond will be approximately $1,083.61 $1,086.00 $1,105.77 $1,088.39
Following information is available in respect of a bond: Face value Rs.100 Market value Rs. 96.48 Coupon rate 8% Yield to maturity 10% Duration 1.92 years Find out Modified duration. If there is a decrease in YTM to 9%, find out the new expected market price.
A bond, paying semi-annual coupons of $42, is purchased at a discount to yield j2 9%. The book value adjustment in the 8th coupon period is $8.07. What is the purchase price of this bond?
Please show working Please answer ALL OF QUESTIONS 1 AND 2 1. A 7% semiannual coupon bond matures in 6 years. The bond has a face value of $1,000 and a current yield of 7.5219%.a. What is the bond's price? Do not round intermediate calculations. Round your answer to the nearest cent.b. What is the bond's YTM? (Hint: Refer to Footnote 6 for the definition of the current yield and to Table 7.1) Do not round intermediate calculations. Round your answers to two decimal places. 2. Nesmith Corporation's outstanding bonds have a $1,000 par value, a 7% semiannual coupon, 18 years to maturity, and a 9% YTM. What is the bond's price? Round your answer to the nearest cent.

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