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RBC Bank has an inventory of AAA-rated, 10-year zero-coupon bonds with a face value of $100 million. The MD of these bonds is 12.5 years,
- RBC Bank has an inventory of AAA-rated, 10-year zero-coupon bonds with a face value of $100 million. The MD of these bonds is 12.5 years, the one-day VaR is $2,150,000, and the potential adverse move in yields is 40 bp.
a. What is the market value of the bonds?
b. What is the yield on the bonds?
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
