Question
Sun Bank has six-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds us 10%. A)
Sun Bank has six-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds us 10%.
A) what is the modified duration of these bonds? B) what is the price volatility if the max potential adverse move in yields is estimated at 20 basis points? C) what is the daily earnings at risk of this bond portfolio? d) what is the 10-day VAR assuming the daily returns are independently distributed?
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Principles of managerial finance
Authors: Lawrence J Gitman, Chad J Zutter
12th edition
978-0132479547
