James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for $87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's annualized volatility is therefore:
James Johnson bought a coupon bond yielding 4.7% for $1,000. Assuming that the price drops to $976 when yield increases to 4.71%, what is the PVBP of the bond.
A large number of traders decide to follow the same trading strategy and sell a substantial portion of their physical gold holdings on the markets. The positions held by the traders are an example of what?
Which among the following are shortfalls of the static liquidity ladder model?
I. The static model gives a liquidity estimate only after the bank faces the liquidity problem.
II. The static model can only make projections over a few days.
III. The static model does not incorporate uncertainty in the analysis.
Which of the following about the ratios between various Tiers of capital is not a requirement of the Basel Committee?
Alpha Bank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a