Use the following discount factors when needed: 0.25 0.50 0.75 1.00 1.25 Z(0,7) 0.9840 0.9680 0.9520 0.9360 0.9190 0.9040 0.8880 0.8730 0.7274 1.50 1.75 2.00 5.00 Consider a bond portfolio worth a $100 million with a duration of 7. Assume the change in the 7- year spot rate is normally distributed with a monthly mean of O basis points and a monthly standard deviation of 40 basis points (0.40%). Explain how you would calculate the 95% and 99% Value-at- Risk of this bond portfolio using a duration approximation. You can assume that N(1.645) = 0.95 and N(2.33) = 0.99 where N(x) is the cumulative distribution function for a standard normal random variable. Use the following discount factors when needed: 0.25 0.50 0.75 1.00 1.25 Z(0,7) 0.9840 0.9680 0.9520 0.9360 0.9190 0.9040 0.8880 0.8730 0.7274 1.50 1.75 2.00 5.00 Consider a bond portfolio worth a $100 million with a duration of 7. Assume the change in the 7- year spot rate is normally distributed with a monthly mean of O basis points and a monthly standard deviation of 40 basis points (0.40%). Explain how you would calculate the 95% and 99% Value-at- Risk of this bond portfolio using a duration approximation. You can assume that N(1.645) = 0.95 and N(2.33) = 0.99 where N(x) is the cumulative distribution function for a standard normal random variable