1.Calculate the daily earnings at risk (D_ear) on a zero-coupon bond worth $1,000,000 with a market yield of 4.5% that matures in 5 years, if one bad day in 20 days occurs tomorrow. A statistician estimates that the mean change in daily yields for this bond is zero and the standard deviation is 11 basis points.

1. What is the value at risk (VaR) over a 10-days horizon?