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A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard deviation is 10bp (0.1%) and expected daily yield

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A Bond has a modified duration of 5.5 and trades for $934. Average daily yield change standard deviation is 10bp (0.1%) and expected daily yield change = 0.01%. What is a one-month 5% VaR for the Bond using delta- normal approach? Assume 20 trading days in a month and provide $ answer. a. $7.96 b. $27.63 c. $43.25 d. $11.46

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