You invest in a 3-year AA rated corporate bond with a face value of $100 and a coupon rate of 6% (paid annually). The AA corporate yield curve is flat at 5%. Assume all shifts in the yield curve are parallel and that the distribution of 1 day changes in the rates are ~ N(0, 0.00012)

Use the duration approximation to get the VaR(20 day,99%) for this bond portfolio.