Question
If 10-year interest rates are at 3%...and its volatility is at 100 bps...how many standard deviations away from a yield of 1% are you? If
If 10-year interest rates are at 3%...and its volatility is at 100 bps...how many standard deviations away from a yield of 1% are you? If you increase volatility to 200 bps does it become more or less likely to reach 1%?
Does this change in volatility make the bond more or less risky? Explain why.
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
