What is the 95% VaRfor the following portfolio given that you know Mu(dr) = 0 and sigma(dr) = 0.3876%?
1 unit of 5-year, 7.8% coupon bond paying semiannually.
1 unit of 4.75-year, 6.9% coupon bond paying semiannually.
Note, for the dollar amount invested in each part of this portfolio, use the price of that bond.