A bank has the following information about its 3-year zero coupon bond portfolio Market Value of Position

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A bank has the following information about its 3-year zero coupon bond portfolio

Market Value of Position ($M)	250
Face Value ($M)	325
Yield to Maturity	6.25%
Average historical change in daily yield (%)	0
Standard deviation of daily yields (bps)	25

a. What is the bond's modified duration?


b. What is the maximum adverse daily yield move at the 99th percentile?


c. What is the price volatility of the bond?


d. What is the DEAR for this bond?


e. What does your answer in d mean?

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Financial Accounting Tools for Business Decision Making

Financial Accounting Tools for Business Decision Making

ISBN: 978-1119368458

7th Canadian edition

Authors: Paul D. Kimmel, Jerry J. Weygandt, Donald E. Kieso, Barbara Trenholm, Wayne Irvine

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Posted Date: Feb 08, 2024 09:09 AM

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