A portfolio manager evaluate the risk of a two-bond portfolio: Price Modified Duration 30-year bond $100 13.84 10-year bond $100 7.44 Number Held 5,000 5,000 We assume that specific risk is negligible and that the volatility of changes in market yields is 29 basis points. Under these conditions, what is the volatility of the portfolio value? A portfolio manager enters a 10-year pay-fixed swap with notional of $100 million. The duration of the fixed leg is 7.44 years, and the floating leg is about to be reset. Assume a flat term structure and an annual volatility of yield changes of 100 basis points. What is the 95% VaR over the next month? A portfolio manager evaluate the risk of a two-bond portfolio: Price Modified Duration 30-year bond $100 13.84 10-year bond $100 7.44 Number Held 5,000 5,000 We assume that specific risk is negligible and that the volatility of changes in market yields is 29 basis points. Under these conditions, what is the volatility of the portfolio value? A portfolio manager enters a 10-year pay-fixed swap with notional of $100 million. The duration of the fixed leg is 7.44 years, and the floating leg is about to be reset. Assume a flat term structure and an annual volatility of yield changes of 100 basis points. What is the 95% VaR over the next month