Follow Bank has a $1 million position in a five-year, zero-coupon bond with a face value of
Question:
a. What is the modified duration of the bond?
b. What is the maximum adverse daily yield move given that we desire no more than a 1 percent chance that yield changes will be greater than this maximum?
c. What is the price volatility of this bond?
d. What is the daily earnings at risk for this bond? Face Value
Face value is a financial term used to describe the nominal or dollar value of a security, as stated by its issuer. For stocks, the face value is the original cost of the stock, as listed on the certificate. For bonds, it is the amount paid to the... Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...
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Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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