In the study notes of this chapter. Question and Answers 1, page 37-39. The value of the bond is calculated as 1000*exp(-5%*9). I used the bond keys and calculated the PV = 644.60 I got the result as PV*sigma*normal deviate. = 10.51. If the volatility is daily and the VaR required is daily, why does the response multiply the result with 9 (years, duration, modified duration).
Putting Var to work
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