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16. City bank has six-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds is 10
16. City bank has six-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds is 10 percent. Assume that the bond yield change follows a normal distribution with a mean of zero and a standard deviation of 6.83646 basis points. What is the 10-day VAR assuming the 5% worst case? A. -$714,009.31 B. -$778,270.16 C. -$389,134.88 D. -$428,405.58 E. -$471,246.16
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