Consider a FI with a bond portfolio comprised of sovereign country debt that has both interest rate and exchange rate risk exposure. The duration of assets is 3.4 years and the duration of liabilities is 5.2 years. The portfolio has assets of US$18 billion (including 2.5 billion euro) and liabilities of US$16 billion (including 4.15 billion euro) with no other currencies bought or sold forward.

a. What is the interest rate risk of the bond portfolio? b. What is the foreign exchange rate risk of the bond portfolio? c. If there is only a 1% chance that interest rates will decline 10 basis points or more tomorrow, what is the dollar daily value at risk at the 1% level? d. If there is only a 1% chance that US dollar/euro exchange rates will increase by at least US$0.25 per euro tomorrow, what is the daily dollar value at risk at the 1% level?

e. What is the 1% DEAR for both interest rate and currency risks if the correlation between the risk exposures is 0.05?

I saw questions a to d are answered on Chegg. Question e. is not answered, so please answer Question e.

On Chegg, other people have answered questions a through d, but no answer for question e. However, if you can answer all questions, that would be appreciated (because answer to e might lie in other questions's answer). thanks!