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Consider a long position of USD100 million in a par 10-year note. Payments are annual. Interest rates are at 6% and the volatility of changes
Consider a long position of USD100 million in a par 10-year note. Payments are annual. Interest rates are at 6% and the volatility of changes in interest rates is 0.25% over the next month. Assuming normal distributions for yields, what is the monthly 99% yield changes? Calculate the VaR of the position.
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