11. 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 duration-based pricing method. 12. Do the above using the zero-coupon method assuming the zero-coupon rates are the following: 2y = 5.90%, Z2 = 5.94%, z3 = 5.96%, 24 = 5.98%, 25 = 6.01%