The following information will be needed

or a Standard Normal Distribution, we have:

z = 2.576 for cumulative probability of 0.995

z = 2.326 for cumulative probability of 0.990

z = 1.960 for cumulative probability of 0.975

z = 1.645 for cumulative probability of 0.950

z = 1.282 for cumulative probability of 0.900

The current market yield on the bonds is 6 percent. The daily yield changes are assumed to be normally distributed, with mean of zero and standard deviation of 15%. The potential adverse move in daily yields is defined as the expected yield change when a 97.5% percent confidence (one-tailed) limit is used. What is the 90-day VAR of a bond portfolio that consists of 2-year 6% coupon bonds with a face value of $40 million (bond yield = 6%)?

The cutive probability to The following questions are based on Chapter 15 Market Risk. You might need the following information: 1. For a Standard Normal Distribution, we have: z=2.576 for cumulative probability of 0.995 z=2.326 for cumulative probability of 0.990 z=1.960 for cumulative probability of 0.975 z=1.645 for cumulative probability of 0.950 z= 1.282 for cumulative probability of 0.900 Question 5 (4 points). The current market yield on the bonds is 6 percent. The daily yield changes are assumed to be normally distributed, with mean of zero and standard deviation of 15%. The potential adverse move in daily yields is defined as the expected yield change when a 97.5% percent confidence (one-tailed) limit is used. What is the 90-day VAR of a bond portfolio that sists of 2-year coupon bonds with a face value of $40 million (bond yield = 6%)