D Question 15 2.5 pts CGA Bank is long in 15 year zero-coupon bond priced at $2 million. The current annual yield on the bond is estimated as 6.5%. Assume that the change in bond yield follows a normal distribution with a mean of zero and a standard deviation of 10 basis points. Calculate the DEAR (Daily Earnings at Risk) for this bond (define adverse market circumstances as the 5% worst case) (please round off decimals). Edit View Insert Format Tools Table V Paragraph 12pt v v T2v BI U O words is Question 16 2.5 pts CGA Bank has a stock portfolio with a market value of $5 million. The portfolio approximates the market portfolio, whose standard deviation has been estimated as 1 %. Calculate the DEAR for this stock portfolio (define adverse market circumstances as the 5% worst case) (please round off decimals). Edit View Insert Format Tools Table Paragraph 12pt v A B I ? | e words Question 17 2.5 pts Stephen, vice president of operations at CGA Bank, is estimating the aggregate dally DEAR of the bank's trading portfolio consisting of the above 15 year zero-coupon bond (in Q.15) and the stock portfolio (in Q.16). If the correlation between the bond and the stock portfolio is 0.5, what is the aggregate portfolio DEAR of the trading portfolio (please round off decimals]? Edit View Insert Format Tools Table 12pt v Paragraph v B I U A e 7 - v D Question 18 2.5 pts Calculate the DEAR of the trading portfolio assuming the correlation between the bond and the stock portfolio is 1. Comparing the new DEAR with the one from question Q.17, how much diversification benefit do CGA Bank get by holding a portfolio of stocks and a bond that are less than perfectly correlated? Edit View Insert Format Tools Table 12pt v Paragraph v B I U T - ca >