Question
CIBC has an inventory of AAA-rated, 10-year zero-coupon bonds with a face value of $200 million. The bonds currently are yielding 4.5% in the over-the-counter
- CIBC has an inventory of AAA-rated, 10-year zero-coupon bonds with a face value of $200 million. The bonds currently are yielding 4.5% in the over-the-counter (OTC) market.
a.What is the MD (modified duration) of these bonds?
b.What is the price volatility if the potential adverse move in yields is 25 basis points?
c.What is the one-day VaR?
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Small Business Management Launching and Growing New Ventures
Authors: Justin Longenecker, Leo Donlevy, Terri Champion, William Petty, Leslie Palich, Frank Hoy
6th Canadian edition
176532218, 978-0176532215
