for part b... please explain how he knew to use a critical value of 1.96 as opposed to 1.65 or 2.58. i dont get it.

Follow Bank has a five-year, zero-coupon bond with a face value of $2 million. The bond is trading at a yield to maturity of 7.00 percent. The historical mean change in daily yields is 15 basis points, and the standard deviation is 25 basis points. a. What is the modified duration of the bond? MD=1+RD=1.075=4.6729 b. What is the maximum adverse daily yield move given that we desire no more than a 2.5 percent chance that yield changes will be greater than this maximum