Question: Let's model this in Excel...yes Homework but a 20-sec Homework! An investment bank holds a zero-coupon bond with a residual maturity of 5 years, a

Let's model this in Excel...yes Homework but a 20-sec Homework! An investment bank holds a zero-coupon bond with a residual maturity of 5 years, a yield-to-maturity of 7 % and a market value of 1 million. The historical average of daily changes in the yield is 0%, and its volatility is 15 basis points. Find: (i) the modified duration; (ii) the price volatility; (iii) the daily VaR with a confidence level of 95 %. 10

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