You Own Two Bonds; 25% of a 30-Year Bond with σ

question 4

Multiple Choice

You own two bonds; 25% of a 30-year bond with σ = 0.02 and 75% of a 20-year bond with ?σ = 0.015.The correlation coefficient is 0.82.What is the 2-week value at risk at a 95% confidence level? (Assume portfolio value = $15 million.)

• A) $0
• B) $234,357
• C) $734,357
• D) $1,734,357

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Definitions:

Limited Liability Company

A business configuration that combines the beneficial limited liability of a corporation with the pass-through taxation system of partnerships or sole proprietorships.

Taxes

A compulsory financial charge or some other type of levy imposed upon a taxpayer by a governmental organization in order to fund government spending and various public expenditures.

Limited Liability Company

An organizational form blending a corporation's limited liability feature with the pass-through tax benefits of a partnership or sole proprietorship.

Manager Liability

The responsibility and potential legal accountability of managers for actions taken within the scope of their managerial roles.