1.Follow Bank has a $1 million position in a five-year, zero-coupon bond with a face value of...
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1.Follow Bank has a $1 million position in a five-year, zero-coupon bond with a face value of $1 402 552. The bond is trading at a yield to maturity of 7 per cent. The historical mean change in daily yields is 0.0 per cent, and the standard deviation is 12 basis points.
What is the modified duration of the bond?
What is the maximum adverse daily yield move given that we desire no more than a 1 per cent chance that yield changes will be greater than this maximum?
What is the price volatility of this bond?
What is the daily earnings at risk for this bond? LO 9.2 , 9.3
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Related Book For 
Financial Institutions Management A Risk Management
ISBN: 9781743073551
4th Edition
Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett
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