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10. Assume a bank holds 5-year $1,000,000 face value in corporate bonds paying 5% annual coupons. The yield is currently 6%. If the standard deviation

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10. Assume a bank holds 5-year $1,000,000 face value in corporate bonds paying 5% annual coupons. The yield is currently 6%. If the standard deviation of the returns is estimated at 35 basis points, what is the 10-day VAR if we use a 95% level of confidence? Use the traditional pricing method

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