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Business, 31.03.2021 05:20 tdahna0403
You own a fixed income portfolio with a single 10-period zero-coupon bond with a face value of $100 million and a current yield of 6% per period. During the past 100 trading days there were 50 days when the yield on these bonds did not change, 15 days when the yield increased 1 basis point, 15 days when the yield decreased by 1 basis point, 9 days when the yield increased by 5 basis points, 9 days when the yield decreased by 5 basis points, 1 day when the yield increased by 10 basis points, 1 day when the yield decreased by 10 basis points. During this 100 day estimation period, the estimated standard deviation of daily interest rate changes equals 2.36 basis points.
1. What is 1-day 99% VAR using historical simulation?
2. What is 1-day 95% VAR using historical simulation?
3. What is the 99% 1-day Delta-Normal VAR?
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You own a fixed income portfolio with a single 10-period zero-coupon bond with a face value of $100...
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