QUESTION 5 Question 5 You invest in a 3-year AA rated corporate bond with a face value of $100 and a coupon rate of % (paid annually). The AA corporate yield curve is flat at 4%. Assume all shifts in the yield curve are parallel and that the distribution of 1 day changes in the rates are ARAN(0, 0.00006). Use the duration approximation to get the VaR(5 day.95%) for this bond portfolio (4 marks) Please upload your response by selecting "Browse my computer", Attach File Browse My Computer QUESTION 5 Question 5 You invest in a 3-year AA rated corporate bond with a face value of $100 and a coupon rate of % (paid annually). The AA corporate yield curve is flat at 4%. Assume all shifts in the yield curve are parallel and that the distribution of 1 day changes in the rates are ARAN(0, 0.00006). Use the duration approximation to get the VaR(5 day.95%) for this bond portfolio (4 marks) Please upload your response by selecting "Browse my computer", Attach File Browse My Computer