A bond market investor who holds $5 million in a portfolio of bonds. He wants to estimate
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Question:
A bond market investor who holds $5 million in a portfolio of bonds. He wants to estimate the 20-day 99% Value at Risk for the portfolio.
- (a) Design two alternative approaches that he can use to obtain the Value at Risk.
(b) Provide appropriate numerical examples for the two approaches, such that you can demonstrate the steps you will take to estimate the Value at Risk.
- Since you have designed two alternative approaches, are they equivalent in terms of accuracy or is one approach better than the other? Discuss your reasoning.
Related Book For
Basic Marketing Research
ISBN: 978-1133188544
8th edition
Authors: Tom J. Brown, Tracy A. Suter, Gilbert A. Churchill
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