Question
Currently, we are investing 10 billion won of bonds (3 years maturity, 6% face value), with a maturity rate of 10% and a duration of
Currently, we are investing 10 billion won of bonds (3 years maturity, 6% face value), with a maturity rate of 10% and a duration of 2.78 years.
When the annual volatility of the bond yield is 0.45%, calculate the annual VaR of the bond under the delta normal method at the 95% confidence level.
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Personal Finance In Your 20s And 30s For Dummies
Authors: Eric Tyson
2nd Edition
9781119431411, 978-1119431411
