The mean change in the daily yields of a 15-year, zero-coupon bond has been five basis points
Question:
The mean change in the daily yields of a 15-year, zero-coupon bond has been five basis points (bp) over the past year with a standard deviation of 15 bp. Use these data and assume that the yield changes are normally distributed.
a. What is the highest yield change expected if a 99 percent confidence limit is required; that is, adverse moves will not occur more than 1 day in 100?
b. What is the highest yield change expected if a 95 percent confidence limit is required; adverse movers will not occur more than 1 day in 20?
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a If yield changes are normally distributed 98 percent of the area of a normal distribution will be ...View the full answer
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Related Book For 
Financial Institutions Management A Risk Management Approach
ISBN: 978-1259717772
9th edition
Authors: Anthony Saunders, Marcia Millon Cornett
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