Question
A Bond has a modified duration of 5.7 and trades for $954. Average daily yield change standard deviation is 0.2% and expected daily yield change
A Bond has a modified duration of 5.7 and trades for $954. Average daily yield change standard deviation is 0.2% and expected daily yield change is 0.05%. What is the one month 5% VaR for the Bond using delta-normal approach? Assume 20 trading days in a month and provide $ answer.
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Startup CFO The Finance Handbook For Your Growing Business
Authors: Kyle Brennan
1st Edition
1790959403, 978-1790959402
