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Consider a zero-coupon bond with a principal of 100, a maturity of 17 years, and a yield of 4%. Assume that yield changes are normally

Consider a zero-coupon bond with a principal of 100, a maturity of 17 years, and a yield of 4%. Assume that yield changes are normally distributed with mean zero and annual volatility of 2%.

What is the one-month duration and convexity-based 5% VaR of this bond? Use 3 decimal places for your answer.

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