A bank holds 10-year 8% coupon Treasury bonds with a face value of $1,000,000. The current market
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A bank holds 10-year 8% coupon Treasury bonds with a face value of $1,000,000. The current market rate is 7%.
What is the 10-day VAR if the standard deviation is estimated at 35 basis points? Use a 99% level of confidence (z=2.33) and traditional pricing.
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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