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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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Q-69.

Consider the following single bond position of $10 million, a modified duration of 3.6 years, an annualized yield volatility of 2%. Using the duration method and assuming that the daily return on the bond position is independently identically normally distributed, calculate the 10-day holding period VaR of the position with a 99% confidence interval assuming there are 252 business days in a year.

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