Exit 8008 PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
Question 5 of 5
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Q5 Single choice

An investor holds a bond portfolio with three bonds with a modified duration of 5, 10 and 12 years respectively. The bonds are currently valued at $100, $120 and $150.
If the daily volatility of interest rates is 2%, what is the 1-day VaR of the portfolio at a 95% confidence level?

  • A

    115.51

  • B

    163.11

  • C

    370

  • D

    165