Question: Please help with this question and show explanation A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard

Please help with this question and show explanation

A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard deviation is 10bp (0.1%) and expected dailyr yield change 2 0.01 %. What is a one-month 5% VaR for the Bond using delta- normal approach? Assume 20 trading days in a month and provide $ answer. C] a. $7.96 E] b. $27.63 C] c. $43.25 C] d. $1 1 .46

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Please help with the following question: A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard deviation is 10bp (0.1%) and expected dailyr yield change 2...

A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard deviation is 10bp (0.1%) and expected daily yield change = 0.01%. What is a one-month 5% VaR for the...

PLEASE ANSWER ALL 8 Questions 8. The daily earnings at risk DEAR for a bank's trading porfolio is $10,000. Which of the following is true regarding VAR? A. Due to diversification effect, the VAR...

Please help me by providing equations in Excel format for solving the following questions in attached document. Response due by 5:30pm Wednesday, June 28, 2017. Thanks. Quantitative - Sample...

I need your help with this: Can you please quote from the attached chapters / resource if possible? Corporations often use different costs of capital for different operating divisions. Using an...

Question 1 (7 points) Saved Interest rate parity is essentially the same as Question 1 options: none of the above all of the above the Garman-Kohlhagen model the cost of carry relationship the...

I would like to know if someone can assist with inputting the formulas into the Excel spreadsheets..... Answers are provided, however, the formulas were omitted. Week 9 Chapter 21: Problems 3(a-e),...

Looking for assistance in Finance HW..... I ONLY Need the FORMULASin the function ribbon (for the answers that I already have, which are attached below) Please advise if you can assist and provide...

Discuss the issue of costs of financial distress for Diageo. Which should be relevant costs for the company? Do you expect the costs to be comparatively high or low (think of the costs conditional on...

Describe the differences between the graphs of f (x) = x3 and g(x) = 3x.

What percentage do most policies have a replacement cost requirement of ? 5 0 % 1 0 % 8 0 % 2 0 %

Fruit Pie Inc. has three product lines-Strawberry, Cherry, and Apple. The following information is available: Strawberry Cherry Apple Sales revenue $90,000 $40,000 $31,000 Variable costs (40,000)...