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Scotia bank has nine-year zero-coupon bonds with a total face value of $100 million. The current market yield on the bonds is 4 percent. What
- Scotia bank has nine-year zero-coupon bonds with a total face value of $100 million. The current market yield on the bonds is 4 percent.
What is the daily value at risk (VaR) of this bond portfolio if the maximum potential adverse move in yields is estimated at 20 basis points?
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Introduction to Finance Markets, Investments and Financial Management
Authors: Ronald W. Melicher, Edgar A. Norton
16th edition
1119398282, 978-1-119-3211, 1119321115, 978-1119398288
