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Calculate the VaR of a bond with a modified duration of 12.5, a price of $ 103.20, a current interest rate of 5.75% per year

Calculate the VaR of a bond with a modified duration of 12.5, a price of $ 103.20, a current interest rate of 5.75% per year and a rate yield volatility of 2% per year. Consider a 99% confidence value.

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