Suppose you are holding $15,000,000 market value in a zero coupon bond with 8 years to maturity. The annual yield on the bond is 9.55%. Suppose you want to calculate the expected shortfall from an extreme event that occurs with 1% confidence. Suppose that over the last year the average daily yield fluctuation for the bond was 98 basis points. The standard deviation for the average daily yield fluctuation for the zero coupon 8 year bond was 30 basis points. Determine the fluctuation that corresponds to an expected shortfall that occurs with 1% confidence. Note: The scale factor is 2.665.

Group of answer choices

0.0080244

0.017795

0.029117

0.17795

Suppose you are holding $15,000,000 market value in a zero coupon bond with 8 years to maturity. The annual yield on the bond is 9.55%. Suppose you want to calculate the expected shortfall from an extreme event that occurs with 1% confidence. Suppose that over the last year the average daily yield fluctuation for the bond was 98 basis points. The standard deviation for the average daily yield fluctuation for the zero coupon 8 year bond was 30 basis points. Determine the expected shortfall from an extreme event at the 1% level. Note: The scale factor is 2.665.

Group of answer choices

$36,552.04

$243,655.86

$266,925.00

$1,949,246.92