Question 15 22.5 pts Ubi Bank is an Australian bank, it wants to obtain the daily earnings at risk (DEAR) on its trading portfolio. The portfolio consists of the following assets: (a) Fixed-income securities (Bonds): The bank holds a 10-year zero-coupon bond with a face value of AU$ 2 M. The bond is trading at a yield to maturity of 3 percent. The potential adverse move in yields is 0.0055 Calculate DEAR for the bond if a 90% confidence limit is required. (3.5 marks) (b) Equities: The bank holds an AU$ 10 million trading position in stocks that reflects the stock market index (the B = 1). Over the last year, the historical mean change in the stock market index was 0.00 per cent and the standard deviation of the stock market index was 2.1% Calculate DEAR for equities if a 90% confidence limit is required. (3 marks) (c) Foreign exchange: The bank has a net long position of 15 million Euros (15M) at the close of business on a particular day. The exchange rate is 1.64/AU$1 (i.e. 1.64 = AU$1) at the daily close. Looking back at the daily changes in the exchange rate of the euro to AUD for the past year, the bank finds that the historical mean change in daily exchange rates was 0.0 per cent and the volatility or standard deviation (a) of the spot exchange rate was 0.63%. Calculate DEAR for foreign exchange if a 90% confidence limit is required