VaR of a coupon bond

Discussion on Value-at-Risk Models
Forum rules
DISCLAIMER: We do not warrant or represent that this forum or its content is free of viruses, worms or other code that might be contaminating or destructive. We cannot guarantee that documents or files downloaded from the Site will be free from viruses and we do not accept any responsibility for any damage or loss caused by any virus. Accordingly, for your own protection, you must use virus-checking software when using the forum. You must not post or provide to us via the forum, any document or file which you believe may contain a virus. You must virus check any document or file which you intend to post or provide to us via the forum. You must ensure that any document or file you intend to post to the forum does not contravene any applicable laws or contravene any person's legal rights. We do not accept any responsibility for any damage or loss you may suffer.
var_newbie
Posts: 1
Joined: Sun Mar 08, 2015 12:25 am

VaR of a coupon bond

Postby var_newbie » Thu Mar 12, 2015 3:06 pm

Hi,

Can anyone please help me on how to compute the var for a coupon bond?
I have the following information:
notional, current price, coupon rate, time to maturity and i know that the distribution of the DAILY CHANGE in YTM is normal. How do i calculate the 5 days VaR for this bond?

Thank you in advance!

Marianne

Return to “Volume IV”

Who is online

Users browsing this forum: No registered users and 1 guest