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

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12 th Home Assignment 1a. One year VaR w1= w2 =0.5 Coupon(%) Maturity YTM(%) Callable Weights 5.375 15-Nov-14 1.446 BBB No 0.5 Coupon(%) Maturity YTM(%) 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
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P(1%) = -15.483056 Credit VaR 3.108409 1b. Two year VaR: w1= w2=0.5 Coupon(%) Maturity YTM(%) Callable Weights 5.375 15-Nov-14 1.446 BBB No 0.5 Coupon(%) Maturity YTM(%) 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
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This note was uploaded on 01/27/2011 for the course MGMT 4370 taught by Professor Gupta during the Fall '10 term at Rensselaer Polytechnic Institute.

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

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