Alpha First Bank has an inventory of AAA-rated, 15-year zero-coupon bonds with a face value of $500 million. The bonds currently are yielding 5.5 percent in the over-the- counter market. The historical mean change in daily yields is 0.0 percent and the standard deviation is 12 basis points. Calculate the modified duration of these bonds. (2 marks) Calculate the price volatility of these bonds if the potential adverse move in yields is 25 basis points. (2 marks) Calculate the DEAR for Alpha First Bank on its portfolio of bonds. (4 marks) Calculate the maximum adverse daily yield move given that we desire no more than a 5 percent chance that yield changes will be greater than this maximum. (4 marks)