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A loan with the modified duration of 5.12 years has a principal of USD 100 million and its daily yield changes are normally distributed and

A loan with the modified duration of 5.12 years has a principal of USD 100 million and its daily yield changes are normally distributed and have a daily volatility of 12 bps.

What is the daily price volatility at risk for a one-sided 99% critical probability?

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