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You are a Credit Risk Analyst at Fidelity Associates. Your manager asked you to evaluate the conditional variance of a zero bond under the following

You are a Credit Risk Analyst at Fidelity Associates. Your manager asked you to evaluate the conditional variance of a zero bond under the following assumptions and information: = 0.0001 = 0.01 = 0.97 Using the above information, the updated conditional variance is closest to Select one: a. 0.017% b. 1.629% c. 0.027% d. 2.501%

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