AB bank has AAA rated, 15 year zero coupon bonds with a face value or...
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AB bank has AAA rated, 15 year zero coupon bonds with a face value or $400 million. the bonds currently are yielding 9.5% in the over the the counter market.
what is the 10-day VAR for these bonds?
only the LAST Question I need please.. on the the last.. Question E
AB Bank has AAA-rated, 15-year zero-coupon bonds with a face value of $400 million. The bonds currently are yielding 9.5 percent in the over-the-counter market. What is the modified duration of these bonds? Hod a. b. If the potential adverse move in yields is 25 basis points, what is the price volatility? c. What is the Dollar Value of the position given the YTM of 9.5% d. What is the DEAR? What is the 10- day VAR for these bonds
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