Follow Bank has a $1 million position in a five-year, zero-coupon bond with a face value of
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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 7.00 percent. The historical mean change in daily yields is 0.0 percent, 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 5 percent 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?
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Related Book For 
Financial Institutions Management A Risk Management Approach
ISBN: 9780077211332
6th Edition
Authors: Anthony Saunders, Marcia Cornett
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