Suppose Surfers Paradise bank holds a short position in a portfolio of annual coupon

bonds valued at $51,000. The modified duration of the bond portfolio, i.e., duration/ (1+yield),

is 10 years.

Based on the past 2-year daily data, the bank's risk management team estimates the

following statistics for the daily yield changes:

The daily yield changes have a mean = -0.2% and standard deviation = 0.1%.

The DEAR of the portfolio is $300.

There is a 5% chance that the bond portfolio value will increase by at least 1.2% or

decrease by at least 10% over the next 10 days.

Assume the daily yield changes follow a normal distribution but are NOT independently

distributed across days, what is the 10-day VaR of the portfolio?

(Please only provide the magnitude of VaR, i.e. without a minus sign, and round your answer