Calculate the daily earnings at risk for a $10 million portfolio that that has a modified duration

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Calculate the daily earnings at risk for a $10 million portfolio that that has a modified duration of 6.7 and a standard deviation of 15 basis points. You should use the 1% tail of the normal distribution, which equals 2.33 σ.

Related Book For answer-question

Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Posted Date: May 03, 2023 03:41 AM

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Calculate the daily earnings at risk for a $10 million portfolio that that has a modified duration

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ANSWER IS To calculate the daily earnings at risk DEAR for a 10 million portfolio we need to first c... View the full answer

Financial Institutions Management A Risk Management Approach

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