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A portfolio manager holds a short $300 million position in 10-year Treasury notes with a daily volatility of 0.7%.
(a) What is the one-day VaR of this position? For the computation of VaR, assume normal distribution and a 95% confidence level. ??(1.645) = 95%.
(b) The manager decides to hedge his position by buying 600 million 7-year Treasury notes with a daily volatility of 0.5%. The correlation between the 7-year notes and the original 10-year notes is 0.9. What is the 95% one-day VaR of this portfolio?
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