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A bank has zero coupon bonds with maturity of 15 years and total face value of $30 million. The current yield to maturity on the

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A bank has zero coupon bonds with maturity of 15 years and total face value of $30 million. The current yield to maturity on the bonds is 12%. A. What is the modified duration of these bonds? I B. What is the price volatility if the maximum potential adverse move in yields is estimated at 40 basis points? C. What is the daily earnings at risk (DEAR) of this bond portfolio? D. What is the 8-day VAR assuming the daily returns are independently distributed

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