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

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