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QIB Bank has a $1 million position in a five-year, zero-coupon bond with a face value of $1,402,552. The bond is trading
Posted: Sun Apr 17, 2022 6:23 pm
by answerhappygod
- Qib Bank Has A 1 Million Position In A Five Year Zero Coupon Bond With A Face Value Of 1 402 552 The Bond Is Trading 1 (50.18 KiB) Viewed 20 times
QIB Bank has a $1 million position in a five-year, zero-coupon bond with a face value of $1,402,552. The bond is trading at a yield to maturity of 7.00 percent. The historical mean change in daily yields is 0.0 percent and the standard deviation is 12 basis points. A. What is the modified duration of the bond? B. What is the maximum adverse daily yield move given that we desire no more than a 1 percent chance that yield changes will be greater than this maximum? C. What is the price volatility of this bond? D. What is the daily earnings at risk for this bond?