Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

anyone know how to solve this q Assume u have a portfolio of 10,000,000 in treasury Bonds and u buy- CDS with principal of 20,000,000

image text in transcribed
anyone know how to solve this q
Assume u have a portfolio of 10,000,000 in treasury Bonds and u buy- CDS with principal of 20,000,000 and spread duration a 2.5. by How much by the spread will have to move so that ur new portfolio market value will become 12,000,000 ? Hint: Treasury aren't sensitive to spreads! +4% +2% +1.5% 1.5%

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Finance At Work

Authors: Valérie Boussard

1st Edition

113820403X, 978-1138204034

More Books

Students also viewed these Finance questions