A bank has a $1 million market value position in a 6-year, zero coupon bond. The bond is yielding 8%. The mean change in the daily yields of the 6-year, zero coupon bond has been 2 basis points over the past year with a standard deviation of 10 basis points. Using these data and assuming the yield changes are normally distributed: (a) What is the highest yield change expected if a 99 percent confidence level ?

Answer rating: 100% (QA)

To calculate the highest yield change expected with 99 confidence level we need to find the value o... View the full answer