1 What is 1-day 99% VAR using historical simulation?

2 What is 1-day 95% VAR using historical simulation?

3 What is the 99% 1-day Delta-Normal VAR?

You own a fixed income portfolio with a single 10-period zero-coupon bond with a face value of $100 million and a current yield of 6% per period. During the past 100 trading days there were 50 days when the yield on these bonds did not change, 15 days when the yield increased 1 basis point, 15 days when the yield decreased by 1 basis point, 9 days when the yield increased by 5 basis points, 9 days when the yield decreased by 5 basis points, 1 day when the yield increased by 10 basis points, 1 day when the yield decreased by 10 basis points. During this 100 day estimation period, the estimated standard deviation of daily interest rate changes equals 2.36 basis points.

Answer rating: 100% (QA)

1 Value at risk VaR is a measure of the risk of loss for investments For example if a portfolio of s... View the full answer