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Calculate the position dear

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Suppose an FI holds a $ 1 million SHORT position in bond. The modified duration of the bond portfolio, i.e., duration/(1+yield), is 2. Assuming that the daily change in yield follows a normal distribution with mean (average) = - 1.5 basis points (-0.015%) and standard deviation = 10 basis points (0.1%). Please calculate the position's DEAR, i.e., the potential loss of over a daily horizon which has a chance of 5 percent to happen.

Reference no: EM132709784

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