PRMIA 8008 Question Answer
If the duration of a bond yielding 10% is 6 years, the volatility of the underlying interest rates 5% per annum, what is the 10-day VaR at 99% confidence of a bond position comprising just this bond with a value of $10m? Assume there are 250 days in a year.
PRMIA 8008 Summary
- Vendor: PRMIA
- Product: 8008
- Update on: Jul 29, 2025
- Questions: 362
