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Bank has a $ 16 million position in a ten-year, zero-coupon bond with a face value of $17 000 000. The bond is trading at

Bank has a $ 16 million position in a ten-year, zero-coupon bond with a face value of $17 000 000. The bond is trading at a yield to maturity of 5.9 per cent. The historical mean change in daily yields is 0.0 per cent, and the standard deviation is 15 basis points.

Calculate the daily earnings at risk for this position at a confidence level of 98%.

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