题目
Consider the following single bond position of $10 million, a modified duration of 3.6 years, an annualized yield volatility of 2%. Using the duration method and assuming that the daily return on the bond position is independently identically normally distributed, calculate the 10-day holding period VaR of the position with a 99% confidence interval assuming there are 252 business days in a year.
选项
A.$409,339
B.$396,742
C.$345,297
D.$334,186
答案
D
解析
「huixue_img/importSubject/1564170388043337728.png」