3. (Risk Metrics) The trading book portfolio of financial institution C consists of A coupon bond investment with 6 years to maturity, face value $2 million, coupon rate 5%, and coupon is paid once per year, 2 million shares of stock X; a foreign cash deposit of 2.5 million. The current market yield for the coupon bond is 4%. The institution chooses the bond yield, USD price of stock X per share, and exchange rate (USD/GBP) as three risk factors. It is estimated that the changes in these three factors follow a multivariate normal distribution; the mean for all factors are 0, and standard deviation for these three factors are 0.002, $0.7 and $0.00342 per , respectively. Also, these three factors has the following correlation matrix 71 0.5 | 0.5 1 -0.3 0.15 -0.3 0.15 1 (a) What is the market value and duration of the coupon bond investment in this portfolio? (b) What is the 99% DEAR of this portfolio? 3. (Risk Metrics) The trading book portfolio of financial institution C consists of A coupon bond investment with 6 years to maturity, face value $2 million, coupon rate 5%, and coupon is paid once per year, 2 million shares of stock X; a foreign cash deposit of 2.5 million. The current market yield for the coupon bond is 4%. The institution chooses the bond yield, USD price of stock X per share, and exchange rate (USD/GBP) as three risk factors. It is estimated that the changes in these three factors follow a multivariate normal distribution; the mean for all factors are 0, and standard deviation for these three factors are 0.002, $0.7 and $0.00342 per , respectively. Also, these three factors has the following correlation matrix 71 0.5 | 0.5 1 -0.3 0.15 -0.3 0.15 1 (a) What is the market value and duration of the coupon bond investment in this portfolio? (b) What is the 99% DEAR of this portfolio