Suppose on February 14, 2008, we want to calculate the daily VaR for $1,000,000 face value position
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Suppose on February 14, 2008, we want to calculate the daily VaR for $1,000,000 face value position in U.S. Treasury principal strip that matures on February 15, 2036. The market value of the position is $274,715.27. The daily standard deviation of these daily returns over this period is estimated to be 1.2737%. Suppose a 95% confidence level is required and mean daily return is zero. What is the daily VaR using the variance-covariance method?
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Related Book For
Introduction To Fixed Income Analytics
ISBN: 9780470572139
2nd Edition
Authors: Steven V. Mann, Frank J. Fabozzi
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