Consider the following single bond position with market value of PhP 1,000,000, a modified duration of 4 years, an annualized yield volatility of 12%. Using the duration method and assuming that the daily returns on the bond position are independent, identically distributed and are normally distributed calculate the VAR of the positions with 99% confidence level and 5-days holding period and assume that there are 260 business days in a year.

Answer rating: 100% (QA)

SOLUTION To calculate the Value at Risk VaR of the bond position using the duration method we need t... View the full answer