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Continuing from the previous question. Assume that daily yield changes follow a normal distribution, what is the maximum adverse daily yield move given that we
Continuing from the previous question. Assume that daily yield changes follow a normal distribution, what is the maximum adverse daily yield move given that we desire no more than a 1 percent chance that yield changes will be greater than this maximum? (Answer in round number of basis points, e.g. if your calculation gives a maximum drop of 1.2%, or 120 basis points, then write your answer as 120)
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