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Calculate the 10-day var based on dear

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PNC Bank has nine-year-zero-coupon bonds with a total face value of $150 million. The current market yield on the bonds is 8.5%. The maximum potential adverse move in daily yields is estimated at 35 basis points. What is the 10-day VAR if we assume that the daily returns are independently distributed? Hint: you need to calculate DEAR of the portfolio first, then calculate the 10-day VAR based on this DEAR.

Reference no: EM133072804

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