You invest in a 3-year AA rated corporate bond with a face value of $100 and a coupon rate of 6% (paid annually). The AA corporate yield curve is flat at 5%. Assume all shifts in the yield curve are parallel and that the distribution of 1 day changes in the rates are Use the duration approximation to get the VaR(20 day,99%) for this bond portfolio.

You invest in a 3-year AA rated corporate bond with a face value of $100 and a coupon rate of 6% (paid annually). The AA corporate yield curve is flat at 5%. Assume all shifts in the yield curve are parallel and that the distribution of 1 day changes in the rates are Use the duration approximation to get the VaR(20 day,99%) for this bond portfolio.

Personal Finance

13th Edition

ISBN:9781337669214

Author:GARMAN

Publisher:GARMAN

Chapter14: Investing In Stocks And Bonds

Section: Chapter Questions

Problem 6DTM

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