Coupon bond paying semiannually

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Reference no: EM131011591

What is the 95% VaRfor the following portfolio given that you know Mu(dr) = 0 and sigma(dr) = 0.3876%?

1 unit of 5-year, 7.8% coupon bond paying semiannually.

1 unit of 4.75-year, 6.9% coupon bond paying semiannually.

Note, for the dollar amount invested in each part of this portfolio, use the price of that bond.

Reference no: EM131011591

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