Question
Calculate the 1-day 95% Value at Risk (VaR) for each of the following individual positions and explain your results. You are not required to calculate
Calculate the 1-day 95% Value at Risk (VaR) for each of the following individual positions and explain your results. You are not required to calculate the portfolio VaR
i) $5 million (nominal) annual bond with modified duration of 2.34 and trading at a price of $97.5 per $100 par; the 1-day volatility of market interest rates is 20 basis points.
ii) $4 million (equivalent) of exposure to the euro and the standard deviation of the dollar against euro is 70 basis points.
iii) $3 million (market value) stock position with a beta of 1.20 and standard deviation of market index of 265 basis points.
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