Short Answer
Compute the 95% VaR for the following portfolio:
i. A 1.5-year ?xed rate bond paying 2% quarterly.
ii. A 0.75-year ?oating rate bond paying ?oat plus 80 basis points semi- annually. You know that the reference rate was set to 6% six months ago.
iii. A 0.25 zero coupon bond. Additionally you know that ?dr =0and?dr =0.4233.
Correct Answer:

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Correct Answer:
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