Suppose you own a single 10-period zero coupon bond with face value of $100. During the past 100 trading days, there wer
Posted: Thu May 05, 2022 8:28 am
Suppose you own a single 10-period zero coupon bond with face
value of $100. During the past 100 trading
days, there were 50 days when the yield on this bond did
not change; 15 days when the
yield increased by 1 basis point; 10 days when
the yield increased by 5 basis points; 15 days when
the yield decreased by 1 basis point; 7 days when the yield
decreased by 3 basis points; 3 days days when the yield decreased
by 5 basis points. During this 100 day estimation period, the
estimated standard deviation of daily interest rate changes
equals 2.05 basis points. Using historical simulation method, the
1-day 99% VaR is ____ the 1-day 95% VaR. Using delta normal method,
the 1-day 99% VaR is ___ the 1-day 95% VaR.
value of $100. During the past 100 trading
days, there were 50 days when the yield on this bond did
not change; 15 days when the
yield increased by 1 basis point; 10 days when
the yield increased by 5 basis points; 15 days when
the yield decreased by 1 basis point; 7 days when the yield
decreased by 3 basis points; 3 days days when the yield decreased
by 5 basis points. During this 100 day estimation period, the
estimated standard deviation of daily interest rate changes
equals 2.05 basis points. Using historical simulation method, the
1-day 99% VaR is ____ the 1-day 95% VaR. Using delta normal method,
the 1-day 99% VaR is ___ the 1-day 95% VaR.