Compute the 95% VaR for the following portfolio:
i. A 1.5-year ?xed rate bond paying 2% quarterly.
ii. A 0.75-year ?oating rate bond paying ?oat plus 80 basis points semi- annually. You know that the reference rate was set to 6% six months ago.
iii. A 0.25 zero coupon bond. Additionally you know that ?dr =0and?dr =0.4233.

Question

Compute the 95% VaR for the following portfolio: 
i. A 1.5-year ?xed rate bond paying 2% quarterly. 
ii. A 0.75-year ?oating rate bond paying ?oat plus 80 basis points semi- annually. You know that the reference rate was set to 6% six months ago. 
iii. A 0.25 zero coupon bond. Additionally you know that ?dr =0and?dr =0.4233.

Quizplus · Accepted Answer

The Answer is The 95%VaR=1.3116.

Compute the 95% VaR for the Following Portfolio