13.The duration does not depend on the coupon rate only for _____________.

premium bonds

perpetuities

short-term bonds

discount bonds

14.Each of two investment projects has a probability of 0.03 of a loss of $20 million and a probability of 0.97 of a loss of $2 million during a one-year period. They are independent of each other. What are the 99% VaR and expected shortfall (ES) for a portfolio consisting of the two investments?

VaR = $20 million; ES = $0.2362 million ($236,200)

VaR = $22 million; ES = $23.62 million

VaR = $20 million; ES = $23.62 million

VaR = $22 million; ES = $0.2362 million ($236,200)

15.Assume that daily portfolio returns are independently and identically normally distributed. Dylan Shaw, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio VaRs for 10-, 15-, 20-, and 25-day periods. The portfolio manager notices something wrong with Dylan's calculations. Which one of following VaRs on this portfolio is inconsistent with the others?

10-day VaR = $316M

15-day VaR = $465M

20-day VaR = $537M

25-day VaR = $600M

16.If the one-day 99% VaR of a portfolio is correctly estimated to be $18,000, one would expect that

In 1 out of 100 days, the portfolio value will decline by $18,000 or less.

In 1 out of 100 days, the portfolio value will decline by $180 or less.

In 1 out of 99 days, the portfolio value will decline by $180 or more.

In 1 out of 100 days, the portfolio value will decline by $18,000 or more.