Compute the 95% VaR for the Following Portfolio

question 3

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.

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Definitions:

Sylvatic Plague

A naturally occurring disease found in wild rodent populations, caused by the bacterium Yersinia pestis, and can spread to humans and other animals.

Pesticide Spraying

The application of chemicals to crops and other areas to control pests and diseases that can damage agricultural production and natural environments.

World Health Organization

An international public health agency of the United Nations responsible for global health matters, including disease outbreaks and global healthcare standards.

Carrying Capacity

The largest number of individuals of a species that can be supported by an environment over an indefinite period, based on the resources it has available.