Question: A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.64. It sells for $1004.21 and yields 6.79%. The

A 4-year note with annual coupon payments has a face value

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.64. It sells for $1004.21 and yields 6.79%. The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 24 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.)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Accounting Questions!

In _ _ _ _ _ _ _ _ Blank, words are imprecise and comprehension strongly depends on context. Multiple Choice Japan Canada Germany the United States France

How did they get 18.26 as the answer? A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.8. It sells for $980.54 and yields 4.39%. The average monthly change in...

1. A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.59. It sells for $1018.37 and yields 4.01%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.73. It sells for $1006.02 and yields 7.5%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.63. It sells for $1000.99 and yields 5.94%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.82. It sells for $980.31 and yields 7.3%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.69. It sells for $989.04 and yields 4.39%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.66. It sells for $999.29 and yields 4.99%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.69. It sells for $977.22 and yields 5.46%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.65. It sells for $985.85 and yields 6.17%. The average monthly change in the yield is 0 basis points and the...

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.59. It sells for $1000.8 and yields 6.19%. The average monthly change in the yield is 0 basis points and the...

For each population and sample, determine what value of sample means would indicate a significant event two standard deviations from the population mean. a. = 80, = 10, sample size n = 25 b. =...

Every year, the U.S. Coast Guard collects data and compiles statistics on reported recreational boating accidents. These statistics are derived from accident reports that are filed by the...

19. In a game, the player tosses a fair coin and rolls a fair 6-sided die simultaneously. If the coin shows a head, the player's score is the score on the die. If the coin shows a tail, then the...