For the purpose of estimating var

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For the purpose of estimating VaR, you computed the critical adverse change in a 5-year interest rate (delta r-star in the VaR formula) to be 0.5849% at the 99% confidence level. What is the standard deviation of the rate changes, in basis points, if the average periodic change is 0% and the appropriate critical value is 2.33? Round to the nearest 0.1 bps (e.g., if your answer is 0.2135%, record it as 21.4). _________

Reference no: EM131356337

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For the purpose of estimating var : For the purpose of estimating VaR, you computed the critical adverse change in a 5-year interest rate (delta r-star in the VaR formula) to be 0.5849% at the 99% confidence level. What is the standard deviation of the rate changes, in basis points, if..

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