Question
In: Math
You have a portfolio with two bonds worth $100 each. Each bond has a 4% probability...
You have a portfolio with two bonds worth $100 each. Each bond has a 4% probability of defaulting. If the bond defaults it is worth $0. If it does not default it is worth $100. Defaults are independent of each other. What is the 95% VaR of each bond, and of the portfolio?
Solutions
milcah answered 1 year agoRelated Solutions
An investor has two bonds in her portfolio, Bond C and Bond Z. Each bond matures...
An investor has two bonds in her portfolio, Bond C and Bond Z.
Each bond matures in 4 years, has a face value of $1,000, and has a
yield to maturity of 9.2%. Bond C pays a 10% annual coupon, while
Bond Z is a zero coupon bond.
a. Assuming that the yield to maturity of each bond remains at
9.2% over the next 4 years, calculate the price of the bonds at
each of the following years to maturity....
An investor has two bonds in her portfolio, Bond C and Bond Z. Each bond matures...
An investor has two bonds in her portfolio, Bond C and Bond Z.
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yield to maturity of 9.3%. Bond C pays a 12% annual coupon, while
Bond Z is a zero coupon bond. Assuming that the yield to maturity
of each bond remains at 9.3% over the next 4 years, calculate the
price of the bonds at each of the following years to maturity.
Round...
An investor has two bonds in her portfolio, Bond C and Bond Z. Each bond matures...
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yield to maturity of 8.4%. Bond C pays a 10% annual coupon, while
Bond Z is a zero coupon bond. Assuming that the yield to maturity
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price of the bonds at each of the following years to maturity.
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Bond Z is a zero coupon bond.
Assuming that the yield to maturity of each bond remains at
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An investor has two bonds in her portfolio, Bond C and Bond Z. Each bond matures...
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Each bond matures in 4 years, has a face value of $1,000, and has a
yield to maturity of 9.3%. Bond C pays a 10.5% annual coupon, while
Bond Z is a zero coupon bond. The data has been collected in the
Microsoft Excel Online file below. Open the spreadsheet and perform
the required analysis to answer the questions below.
Open spreadsheet
Assuming that the yield to...
eBook An investor has two bonds in her portfolio, Bond C and Bond Z. Each bond...
eBook An investor has two bonds in her portfolio, Bond C and
Bond Z. Each bond matures in 4 years, has a face value of $1,000,
and has a yield to maturity of 8.2%. Bond C pays a 11% annual
coupon, while Bond Z is a zero coupon bond. Assuming that the yield
to maturity of each bond remains at 8.2% over the next 4 years,
calculate the price of the bonds at each of the following years to
maturity....
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to maturity of each bond remains at 8.1% over the next 4 years,
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Bond Value as Maturity Approaches An investor has two bonds in his portfolio. Each bond matures...
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equal to 8.4%. One bond, Bond C, pays an annual coupon of 11%; the
other bond, Bond Z, is a zero coupon bond. Assuming that the yield
to maturity of each bond remains at 8.4% over the next 4 years,
what will be the price of each of the...
BOND VALUATION An investor has two bonds in his portfolio that have a face value of...
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You currently have a £100 million bond portfolio invested 30% in 5-year bonds with a modified...
You currently have a £100 million bond portfolio invested 30% in
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10-year and 20-year.)
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portfolio.
If the entire yield curve suddenly shifts down to yield 7.25%,
what...
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