Market Risk Problems (Chapter 15 in 8th edition and Chapter 10 in 7th edition) 1. ank Anchor has an inventory of AAA-rated, 12-year zero-coupon Eurobonds with a face value of $500 million. The bonds currently are yielding 6% in the over-the-counter market. a. What is the modified duration of these bonds? b. What is the price volatility if the potential adverse move in yield is an increase of 25 basis points? c. What is the DEAR? d. If the price volatility is based on a 90 percent confidence limit (i.e, a right tail of 5% under the normal distribution curve) and a mean historical change in daily yields of 0.0 percent, what is the implied standard deviation of daily yield changes? e. What is the 25-day VAR