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A Bond Maturing in 5 Years Has a YTM =

Question 15

Multiple Choice

A bond maturing in 5 years has a YTM = 0.065 and an annual yield volatility of 2.0%.Given a $15 million portfolio,what is the value at risk over 2 weeks at a 95% confidence level?


A) $283,917
B) $383,917
C) $483,917
D) $583,917

Correct Answer:

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