10. You own $1,000,000 principal value of a bond. The average one-day change in the price...

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10. You own $1,000,000 principal value of a bond. The average one-day change in the price of the bond +0.3% of price (i.e. 0.003). The standard deviation of one-day 0.5% of price (i.e. 0.005). (6 points) price changes is normal a. What is the 1-day VaR of this holding at the 99% confidence level [assume a distribution of price changes, find the Zconfidence level in Excel =NORM.S.INV(.99) ]? b. Based on this, what is the 20-day VaR (approximately 1 month)? 11. You own 20,000 shares of PDQ Corp. The average one-day change in the price of a share is +$0.15. The standard deviation of one-day price changes is $0.45 per share. (6 points) price Excel a. What is the 1-day VaR of this holding at the 99% confidence level [assume changes follow a t-distribution with df = 6, find the tconfidence level in =T.INV(.99,6) ]? 10. You own $1,000,000 principal value of a bond. The average one-day change in the price of the bond +0.3% of price (i.e. 0.003). The standard deviation of one-day 0.5% of price (i.e. 0.005). (6 points) price changes is normal a. What is the 1-day VaR of this holding at the 99% confidence level [assume a distribution of price changes, find the Zconfidence level in Excel =NORM.S.INV(.99) ]? b. Based on this, what is the 20-day VaR (approximately 1 month)? 11. You own 20,000 shares of PDQ Corp. The average one-day change in the price of a share is +$0.15. The standard deviation of one-day price changes is $0.45 per share. (6 points) price Excel a. What is the 1-day VaR of this holding at the 99% confidence level [assume changes follow a t-distribution with df = 6, find the tconfidence level in =T.INV(.99,6) ]?

Answer rating: 100% (QA)

a To calculate the 1day Value at Risk VaR at the 99 confidence level we can use the following formul... View the full answer