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What is the value at risk over a 30-day horizon

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Calculate the daily earnings at risk (Dear) on a zero-coupon bond worth $500,000 with a market yield of 4.5% that matures in 5 years, if the one bad day in 20 days occurs tomorrow. A statistician estimates that the mean change in daily yields for this bond is zero and the standard deviation is 15 basis points. What is the value at risk (VaR) over a 30-day horizon? What are the weaknesses of this model? (10marks) (show all workings on calculations)

Reference no: EM133058250

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