Homework12 - 12th Home Assignment 1a One year VaR w1= w2...

12 th Home Assignment
1a. One year VaR
w1= w2 =0.5
Coupon(%) Maturity YTM(%) S&P Ratings Callable Weights
5.375 15-Nov-14 1.446 BBB No 0.5
Coupon(%) Maturity YTM(%) S&P Ratings Callable
5.125 15-Nov-14 3.841 BB No 0.5
Probability price for percentile calculation:
calulation
JAG AAA AA A BBB BB B CCC/C D
6.09177E-06
2.840
9E-05 0.000135687 0.001558682 0.015915472 0.001719943 0.000181103 0.000165015
0.000100446
0.000
46842
8 0.0022373 0.025700586 0.262421236 0.028358853 0.002985916 0.00272032
0.001807449
0.008
42902
2 0.04025842 0.462457382 4.721825299 0.51025291 0.053716398 0.048920389
0.026292072
0.122
61244
5 0.585612418 6.726930999 68.6777895 7.42097575 0.780970523 0.710670596
0.001570994
0.007
32619
2 0.03498938 0.401887129 4.10129936 0.443018196 0.046548129 0.042198049
0.000341394
0.001
59204
4 0.007603244 0.087324464 0.890858532 0.096204165 0.010095381 0.00912426
3.2578E-05
0.000
15191
5 0.000725397 0.008328463 0.084828814 0.009149038 0.000954196 0.00084972
4.18459E-05
0.000
19510
7 0.000931293 0.010683614 0.108396488 0.0116547 0.00119726 0.001026504
First percentile: 30.08599684
Closet to JAG B and AHB BBB
Portfolio 110.05

Price
P(1%) = -15.483056
Credit VaR 3.108409
1b. Two year VaR:
w1= w2=0.5
Coupon(%) Maturity YTM(%) S&P Ratings Callable Weights
5.375 15-Nov-14 1.446 BBB No 0.5
Coupon(%) Maturity YTM(%) S&P Ratings Callable
5.125 15-Nov-14 3.841 BB No 0.5
Probability price for percentile calculation
JAG AAA AA A BBB BB B CCC/C D
6.01082E
-06
2.80319E
-05
0.000133
819
0.001538
038
0.015705
58
0.001689
727
0.000181
381
0
.
0
0
0
1
6
3
5
8
6
9.91126E
-05
0.000462
219
0.002206
544
0.025360
653
0.258965
204
0.027861
073
0.002990
591
0
.
0
0

2
6
9
6
8
3
9
0.001782
571
0.008313
14
0.039685
048
0.456111
041
4.657248
742
0.501029
347
0.053772
591
0
.
0
4
8
4
6
7
2
3
6
0.025943
996
0.120991
299
0.577579
514
6.638180
401
67.77567
931
7.290758
785
0.782305
093
0
.