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Average
Stdev
Using historical sorted returns, find the 1 day 95% VAR and the 1 day 99.5%
Using estimate for the std deviation and assuming a mean of 0, find the 21 d
as the model for stock returns
NormDist
mean = 0
var = 0.02667
of 0, find the 21 day 95% VAR and 99.5% VAR using the normal distribution
-9.88%
12.59
(98,830.00)
-45.29%
(452,895.96)
distribution
1. ABC bond pays a 5.5% coupon semi-annually and has 6 years rema
(a) What is the price if the yield to maturity is 5.5% and the bon
=PV(0.055/2,12,55/2,1000) = ($1,000.00)
(b) What is the price of the bond if the bond price is calculated u
Time Discounted CF
0.5 26.75
1 26.03
1.5 25.32
2 24.64
2.5 23.97
3 23.32
3.5 22.68
4 22.07
4.5 21.47
5 20.89
5.5 20.32
6 738.69
26.76 =27.5/(1+0.055/2)
mpounding?
% yield?