Suppose you own a single 10-period zero coupon bond with face value of $100. During...
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Suppose you own a single 10-period zero coupon bond with face value of $100. During the past 100 trading days, there were 50 days when the yield on this bond did not change; 15 days when the yield increased by 1 basis point; 10 days when the yield increased by 5 basis points; 15 days when the yield decreased by 1 basis point; 7 days when the yield decreased by 3 basis points; 3 days days when the yield decreased by 5 basis points. During this 100 day estimation period, the estimated standard deviation of daily interest rate changes equals 2.05 basis points. Using historical simulation method, the 1-day 99% VaR is ____ the 1-day 95% VaR. Using delta normal method, the 1-day 99% VaR is ___ the 1-day 95% VaR.
| A. | the same as; higher than | |
| B. | higher than; lower than | |
| C. | lower than; lower than | |
| D. | the same as; the same as |
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