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You invest in a 3-year AA rated corporate bond with a face value of $100 and a coupon rate of 4% (paid annually). The AA
You invest in a 3-year AA rated corporate bond with a face value of $100 and a coupon rate of 4% (paid annually). The AA corporate yield curve is flat at 4%. Assume all shifts in the yield curve are parallel and that the distribution of 1 day changes in the rates are . Use the duration approximation to get the VaR(5 day,95%) for this bond portfolio.
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