Question: Changes in interest rates (in basis points) are normally distributed with a mean of O and variance of 169. You have an Investment which is

Changes in interest rates (in basis points) are normally distributed with a mean of O and variance of 169. You have an Investment which is a Bond with Face Value of 1000, maturity of 5 years, coupon rate of 15% that yields 10% Using the following values for a normal distributed variable with mean = 0 and variance - 1. Use 4 decimals in your calculations, and include all of them in your answer sheet. P(X>=2) 1.00% 5.00% 10.00% 15.00% 50.00% 2.3263 1.6449 1.2816 1.0364 0.0000 Calculate : 1. Market Value of this Bond 2. Duration of this Bond 3. Modified Duration 4. DEAR for a risk of 5% 5. VAR for 4 days

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