Calculate the VaR of a bond with a modified duration of 12.5, a price of $ 103.20,

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Calculate the VaR of a bond with a modified duration of 12.5, a price of $ 103.20, a current interest rate of 5.75% per year and a rate yield volatility of 2% per year. Consider a 99% confidence value.

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Corporate Finance

ISBN: 978-0077861759

10th edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe

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Posted Date: Oct 10, 2020 07:48 PM

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Calculate the VaR of a bond with a modified duration of 12.5, a price of $ 103.20,

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ANS WER 2 31 WORK ING 103 20 1 0 99 12 5 100 0 ... View the full answer

Corporate Finance

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