A portfolio of annual coupon bonds is valued at $100. The modified duration of the bond portfolio, i.e., duration/(1+yield), is 10 years. Based on the past 2- year daily data, a risk management team estimates the following statistics for the daily yield changes: the daily yield changes have a mean = -0.2% and standard deviation = 0.1%. Suppose BFM bank holds a LONG position in the portfolio and assume the daily yield changes DO NOT follow a normal distribution. Based on the bank's estimates, there is 5 percent chance that the yield will DECREASE by more than 1% over a day, and there is also 5 percent chance that the yield will INCREASE by more than 15% over a day. What is the DEAR under 5-percent most adverse market movement scenario? a (Please only provide the magnitude of DEAR, i.e. without a minus sign and round your answer to two decimal places) Answer: Next page