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.
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 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...
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 8.4%. Bond C pays a 10% annual coupon, while
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, calculate the
price of the bonds at each of the following years to maturity.
Round...
BOND VALUATION An investor has two bonds in her portfolio, Bond C and Bond Z. Each...
BOND VALUATION
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 9.5%. Bond C pays a 10% annual coupon, while
Bond Z is a zero coupon bond.
Assuming that the yield to maturity of each bond remains at
9.5% over the next 4 years, calculate the price of the bonds at
each of the following years to...
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 9.3%. 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....
Bond Value as Maturity Approaches An investor has two bonds in his portfolio. Each bond matures...
Bond Value as Maturity Approaches
An investor has two bonds in his portfolio. Each bond matures in
4 years, has a face value of $1,000, and has a yield to maturity
equal to 8.1%. 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 8.1% over the next 4 years,
what will be the price of each of the...
Bond Value as Maturity Approaches An investor has two bonds in his portfolio. Each bond matures...
Bond Value as Maturity Approaches
An investor has two bonds in his portfolio. Each bond matures in
4 years, has a face value of $1,000, and has a yield to maturity
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...
BOND VALUATION An investor has two bonds in his portfolio that
have a face value of $1,000 and pay a 10% annual coupon. Bond L
matures in 15 years, while Bond S matures in 1 year.
a. What will the value of each bond be if the going interest
rate is 5%, 8%, 12%? Assume that only one more interest payment is
to be made on Bond S at its maturity and that 15 more payments are
to be made...
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
5-year bonds with a modified duration of 4.05 years, 25% invested
in 10-year bonds with a modified duration of 6.88 years and 45% in
20-year bonds with a modified duration of 10.09 years. The yield
curve is currently flat at 8% across all maturities (5-year,
10-year and 20-year.)
Calculate the modified duration for your entire bond
portfolio.
If the entire yield curve suddenly shifts down to yield 7.25%,
what...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- what are the fundamental similarity and differences between gap and dgap?
- Maria Gonzales is a 57-year-old operating room nurse who works full-time at a local hospital. She...
- Use the bond term's below to answer the question Maturity 7 years Coupon Rate 4% Face...
- What experience have you had with Organization Development or with Change Management? Describe the organization, the...
- 1. Renfro Rentals has issued bonds that have a 12% coupon rate, payable semiannually. The bonds...
- Given an array of positive integers a, your task is to calculate the sum of every...
- Define “culture.” Software is defined by the Merriam-Webster Dictionary as "the programs that run on a...
ADVERTISEMENT