Consider a zero-coupon bond with a principal of 100, a maturity of 22 years, and a...
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Consider a zero-coupon bond with a principal of 100, a maturity of 22 years, and a yield of 5.5%. Assume that yield changes are normally distributed with mean zero and annual volatility of 2%. What is the one-month duration and convexity-based 5% VaR of this bond? Do not assume that average changes in the bond value are zero. Use 3 decimal places for your answer. Consider a zero-coupon bond with a principal of 100, a maturity of 22 years, and a yield of 5.5%. Assume that yield changes are normally distributed with mean zero and annual volatility of 2%. What is the one-month duration and convexity-based 5% VaR of this bond? Do not assume that average changes in the bond value are zero. Use 3 decimal places for your answer.
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