A bank has the following information about its 3-year zero coupon bond portfolio Market Value of Position
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Question:
A bank has the following information about its 3-year zero coupon bond portfolio | |
Market Value of Position ($M) | 250 |
Face Value ($M) | 325 |
Yield to Maturity | 6.25% |
Average historical change in daily yield (%) | 0 |
Standard deviation of daily yields (bps) | 25 |
a. What is the bond's modified duration? | |
b. What is the maximum adverse daily yield move at the 99th percentile? | |
c. What is the price volatility of the bond? | |
d. What is the DEAR for this bond? | |
e. What does your answer in d mean? |
Related Book For
Financial Accounting Tools for Business Decision Making
ISBN: 978-1119368458
7th Canadian edition
Authors: Paul D. Kimmel, Jerry J. Weygandt, Donald E. Kieso, Barbara Trenholm, Wayne Irvine
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