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  3. 1. assume the dollar market value of an fi's posit

1. Assume the dollar market value of an FI's position is $200 000 with a...

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Finance

1. Assume the dollar market value of an FI's position is $200 000 with a modified duration of four years. The potential adverse move in the yield is 16.5 basis points. What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals)?

2. Assume the dollar market value of an FI's position is $200 000 and the calculated price volatility is 1.25%. What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals)?

3. Consider the case of ABC Company. The company's marginal probability of default in year 1 is 0.03 and 0.08 in year 2. What is ABC Company's cumulative default probability (round to two decimals)?

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