10. Gladiator Bank holds the following four assets: Duration 3 Exchange rate Assets 1 2 3 4 Type Bond Bond Foreign Exchange Equity (well- diversified portfolio, B=1 ) Market value $1M $1.5M 1.25M Euros $0.75M 8 .003 .008 .0075 .0175 1Euro=$1.35 The correlation coefficients are given as: P12 = 0.7, P13 = 0.20, P14 = -0.20, P23 = 0.5, P24 = -0.15, P34 = 0.4. The current market interest rate=4%. Assuming that returns are normally distributed, calculate the DEAR for each individual asset and the DEAR for the portfolio assuming a 99% worst-case scenario. 10. Gladiator Bank holds the following four assets: Duration 3 Exchange rate Assets 1 2 3 4 Type Bond Bond Foreign Exchange Equity (well- diversified portfolio, B=1 ) Market value $1M $1.5M 1.25M Euros $0.75M 8 .003 .008 .0075 .0175 1Euro=$1.35 The correlation coefficients are given as: P12 = 0.7, P13 = 0.20, P14 = -0.20, P23 = 0.5, P24 = -0.15, P34 = 0.4. The current market interest rate=4%. Assuming that returns are normally distributed, calculate the DEAR for each individual asset and the DEAR for the portfolio assuming a 99% worst-case scenario