Suppose a financial institution holds a portfolio of bonds with a value of $50,000,000 and duration of

Question:

Suppose a financial institution holds a portfolio of bonds with a value of $50,000,000 and duration of 3.5. The portfolio currently yields 4 percent and you don’t anticipate any changes in the yield over the next month. If the average monthly change in the yield is 0 basis points and the monthly standard deviation of changes in the yield is 75 basis points, what is the portfolio’s monthly VAR at the 95% confidence level? Assume normal distribution of yield changes (the appropriate critical value is 1.65).

Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...

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