FREE Trial
Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Assume u have a portfolio of 10,000,000 in Bonds and u buy a CDS with principal of 20,000,000 and spread duration of 2.5. How much

Assume u have a portfolio of 10,000,000 in Bonds and u buy a CDS with principal of 20,000,000 and spread duration of 2.5. How much by the spread will have to move so that ur new portfolio market value will become 10,000,000? Assume the bonds aren't sensitive to spread.

+2%

-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

Students also viewed these Finance questions

Question

Speculate on the impact of technology on future clinical psychology research.

Answered: 1 week ago

Question

★★★★★
Jordan Cates and LaToya Orr have operated a successful firm for many years, sharing net income and net losses equally. Caleb Webster is to be admitted to the partnership on June 1 of the current...

Answered: 1 week ago

Question

★★★★★
Which of the following types of commands can be used within a Linux shell script function? Retinal scan Verbal Conditional statements Object instantiation

Answered: 1 week ago

Question

★★★★★
AP Calculus AB 3.1 - 3.4 Practice Problems Name: 1) Locate the absolute extrema of the function on the closed interval. g ( t ) = - 72 + 3 [-1, 1] 2) At what value(s) of x in the interval |0, 2| is...

Answered: 1 week ago

Question

★★★★★
Smith Enterprises recently was profiled on a financial information website and touted as a "hot" growth stock. You acquired the stock quote shown here from that website. Smith Enterprises (DAX: SME)...

Answered: 1 week ago

Question

★★★★★
A knife found buried 7 inches deep in the ground would be marked on the evidence collection site map as _____. a. -7 b. 7 c. 7 BG d. UG 7

Answered: 1 week ago

Question

★★★★★
Week 14 Homework i 5 points 1 Saved Andretti Company has a single product called a Dak. The company normally produces and sells 83,000 Daks each year at a selling price of $60 per unit. The company's...

Answered: 1 week ago

Question

★★★★★
3. The normal melting point of CaTiSiO5 is 1,400C and the heat of fusion at the normal melting point is 123,700 J mol-. Calculate the heat of fusion at 1,300C. Cp, solid CaTiSiO5 = 177.4 +23.2 10- TJ...

Answered: 1 week ago

Question

★★★★★
LAND DESCRIBED AS FOLLOWS Schains 21LINKS Achains 21 Links N 40 30' E 4 chains 25 LINKS 3 chains H 49 30' W. OLD 5 chains N 40 30' E FARM ROAD 1. Determine the area of the enclosed property in square...

Answered: 1 week ago

Previous Question Next Question