1. 

   ActStudent1405 Member

   The solution calculates the 99% VaR of a bond portfolio as: modified duration * increase in interest rate * portfolio value.
   
   Can you please explain why the modified duration is included in the formula above?

    

   ActStudent1405, Feb 4, 2018

   #1
2. 

   Simon James ActEd Tutor Staff Member

   Hi. You can use the modified duration to see the change in the value of the portfolio for a 1% change in i

    

   Simon James, Feb 5, 2018

   #2
3. 

   ActStudent1405 Member

   Thank you Simon.

    

   ActStudent1405, Feb 5, 2018

   #3

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