1. Assume the dollar market value of an FI's position is $200 000 with a...
80.2K
Verified Solution
Link Copied!
Question
Finance
1. Assume the dollar market value of an FI's position is $200 000 with a modified duration of four years. The potential adverse move in the yield is 16.5 basis points. What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals)?
2. Assume the dollar market value of an FI's position is $200 000 and the calculated price volatility is 1.25%. What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals)?
3. Consider the case of ABC Company. The company's marginal probability of default in year 1 is 0.03 and 0.08 in year 2. What is ABC Company's cumulative default probability (round to two decimals)?
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
