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A portfolio has exposure to the twoyear interest rate and the fiveyear interest rate. A onebasispoint increase in the twoyear rate causes the value of
A portfolio has exposure to the twoyear interest rate and the fiveyear interest rate. A onebasispoint increase in the twoyear rate causes the value of the portfolio to increase in value by $10,000. A onebasis-point increase in the fiveyear rate causes the value of the portfolio to increase by $8,000. The standard deviation per day of the twoyear rate and that of the fiveyear rate are 7 and 8 basis points, respectively, and the correlation between the two rates is 0.8. What is the portfolio's expected shortfall when the confidence level is 98% and the time horizon is five days? The variance of the change in the value of the portfolio in
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