Calculate interest rates and volatilities , Financial Accounting

The following market data are available for interest rates and volatilities associated with standard maturities:

1789_annual rate.png

Suppose you are holding a bond portfolio which invests in a single bond. The face value is $1,000,000, the remaining maturity is 0.8 years, and the coupon rate is 7% per year, paid semi-annually.

Please follow the classroom example and the example on p274-276 to calculate the 5-day, 99% VaR.

(Hint: once again, it is much easier to do the calculations in a spreadsheet. But please do report all steps in the calculations.)

Posted Date: 3/25/2013 5:27:26 AM | Location : United States







Related Discussions:- Calculate interest rates and volatilities , Assignment Help, Ask Question on Calculate interest rates and volatilities , Get Answer, Expert's Help, Calculate interest rates and volatilities Discussions

Write discussion on Calculate interest rates and volatilities
Your posts are moderated
Related Questions
The three certainties A trust will be valid only if the three certainties are present i.e. certainty of words, certainty of subject, and certainty of objects.   1. Certainty

Joe Shareholder owns 100 shares of Peach Company stock which is currently selling for $100 per share. Peach declares a 2-1 stock split. How much are Joe's shares worth after the st

Temporary or Timing differences Temporary/timing differences relate to those items that are adjusted in the current period and are again adjusted in subsequent financial period

Heather & Terry have a mortgage on their primary residence of $750,000 and a mortgage on their vacation home of $410,000. In 2013, they incurred $46,400 of mortgage interest expens

EVERLIGHT COMPANY LIMITED Comparative Balance Sheet December 31, Year 1 and Year 2     Year 1       Year2

SURVIVORSHIP POLICY The partners may take out a survivorship policy to safeguard against future cashflow problems incase a partner dies or the business is dissolved. E.g. incas

Combined income statement The figures to appear in the combined income statement are based on the following diagram: 1) An arrow pointing into a box refers to purchase

International Accounting Standards Committee, the (IASC) - is an independent private sector body, formed in 1973, with objective of harmonizing the accounting principles that are u

Using the profitability index, which of the following projects should be accepted? Project M:  NPV = $60,000     NINV =    $200,000 Project N:  NPV = $10,000     NINV =     $

Ely purchased a patent (with a remaining legal life of ten years) from Backo on January 1, 2010 for $300,000. Ely expected to use the patent for five years. The carrying value on B