Follow Bank has a $1 million position in a five year, zero coupon bond with a face value of $1,402,552 The bond is trading at a yield to maturity of 7 00 percent The historical mean change in daily yields is 0 0 percent and the standard deviation is 12 basis points a What is the modified duration o...

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Follow Bank has a $1 million position in a five-year, zero-coupon bond with a face value of

Question:

Follow Bank has a $1 million position in a five-year, zero-coupon bond with a of $1,402,552. The bond is trading at a yield to of 7.00 percent. The historical mean change in daily yields is 0.0 percent and the standard deviation is 12 basis points.
a. What is the modified duration of the bond?
b. What is the maximum adverse daily yield move given that we desire no more than a 1 percent chance that yield changes will be greater than this maximum?
c. What is the price volatility of this bond?
d. What is the daily earnings at risk for this bond? Face Value
Face value is a financial term used to describe the nominal or dollar value of a security, as stated by its issuer. For stocks, the face value is the original cost of the stock, as listed on the certificate. For bonds, it is the amount paid to the... Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...