Consider a 5-year corporate bond with face value of $1000. The coupon rate is 5% per annum. The bond is issued as a BBB bond. Use the two tables below to answer the following questions.

Ratings Yield (%)

AAA 4.43

AA 4.56

A 4.80

BBB 5.40

BB 9.45

B 11.70

CCC 15.15

At what confidence level will our value at risk be 15.66% in the near future? (Please show step by step how to solve)

From/To 87.44 0.60 0.05 0.02 0.04 0.00 0.00 7.37 86.65 2.05 0.21 0.08 0.07 0.00 A 0.46 7.78 86.96 3.85 0.33 0.20 0.31 0.09 0.58 5.50 84.13 5.27 0.28 0.39 B 0.00 0.00 0.06 0.11 0.43 0.16 4.39 0.77 75.73 7.36 5.21 72.95 1.319.74 CCC/C D 0.00 0.00 0.02 0.01 0.03 0.04 0.19 0.29 0.94 1.20 4.23 5.71 46.83 28.83 CCC/C From/To 87.44 0.60 0.05 0.02 0.04 0.00 0.00 7.37 86.65 2.05 0.21 0.08 0.07 0.00 A 0.46 7.78 86.96 3.85 0.33 0.20 0.31 0.09 0.58 5.50 84.13 5.27 0.28 0.39 B 0.00 0.00 0.06 0.11 0.43 0.16 4.39 0.77 75.73 7.36 5.21 72.95 1.319.74 CCC/C D 0.00 0.00 0.02 0.01 0.03 0.04 0.19 0.29 0.94 1.20 4.23 5.71 46.83 28.83 CCC/C