A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.53. It sells for $1014.47 and yields 5.81%.
The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 27 basis points. What is the value at risk (VAR) at the 95% confidence level, to the nearest penny? The appropriate critical value is 1.65. (Record the answer as a positive value.)

Answer rating: 100% (QA)

for a bond price is inversely proportional to interest rate and henc... View the full answer