City bank has six-year zero coupon bonds with a total face value of $20 million.The current market yield on the bonds is 10 percent.

What is the 10-day VAR assuming the daily returns are independently distributed?

Question

City bank has six-year zero coupon bonds with a total face value of $20 million.The current market yield on the bonds is 10 percent.

What is the 10-day VAR assuming the daily returns are independently distributed?

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The Answer of City bank has six-year zero coupon bonds with a total face value of $20 million.The current market yield on the bonds is 10 percent.

What is the 10-day VAR assuming the daily returns are independently distributed?

City Bank Has Six-Year Zero Coupon Bonds with a Total