You own a fixed income portfolio with a single $10-$period zero$-$coupon bond with a

face value of $$100$ million and a current yield of $6\%$ per period. During the past $100$ trading days

there were $50$ days when the yield on these bonds did not change, $15$ days when the yield increased

$1$ basis point, $15$ days when the yield decreased by $1$ basis point, $9$ days when the yield increased

by $5$ basis points, $9$ days when the yield decreased by $5$ basis points, $1$ day when the yield increased

by $10$ basis points, $1$ day when the yield decreased by $10$ basis points. During this $100$ day

estimation period, the estimated standard deviation of daily interest rate changes equals $2\mathrm{.}36$ basis

points.

A$)$ What is $1-$day $99\%$ VAR using historical simulation?

B$)$ What is $1-$day $95\%$ VAR using historical simulation?

C$)$ What is the $99\%1-$day Delta$-$Normal VAR?