Question
Using Monte Carlo simulation evaluate and interpret the value at risk for a bond for the ten worst scenarios over the next 3 days using
Using Monte Carlo simulation evaluate and interpret the value at risk for a bond for the ten worst scenarios over the next 3 days using the following information: the present value of the one-year Eurobond is 650 thousand Euro. The current AUD/EURO exchange rate is 0.55. Historical daily volatilities of the $/Euro exchange rate and the bond price are 0.005 and 0.003, respectively. The historic correlation is 0.61. Use 1000 random trials.
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Public Finance A Contemporary Application of Theory to Policy
Authors: David N Hyman
11th edition
9781305474253, 1285173953, 1305474252, 978-1285173955
