Question: Aussie bank has five-year zero coupon bonds with a total dollar value of $20 million. The current market yield on the bonds is 10 percent.

Aussie bank has five-year zero coupon bonds with a total dollar value of $20 million. The current market yield on the bonds is 10 percent.

The maximum potential adverse move in yields is estimated at 20 basis points. What is the 10-day VaR assuming the daily returns are independently distributed?

-$471,246

-$574,960

-$428,405

-$389,135

-$181,818

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