The value of a portfolio of annual coupon bonds is $3,000. The modified duration of the bond portfolio, i.e., duration/( 1+ yield), is 10 years. Based on the past 2-year daily data, a 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%. Suppose Kingsford Bank holds a short position in the portfolio and assume the daily yield changes follow a normal distribution but are NOT independently distributed across days. Based on the bank's estimates, the DEAR of the portfolio is $300. Further, there is a 5% chance that the bond portfolio value will increase by at least 2.4% or decrease by at least 10.8% over the next 10 days. What is the 10 -day VaR of the portfolio? (Please only provide the magnitude of VaR, i.e. without a minus sign) Answer: The value of a portfolio of annual coupon bonds is $3,000. The modified duration of the bond portfolio, i.e., duration/( 1+ yield), is 10 years. Based on the past 2-year daily data, a 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%. Suppose Kingsford Bank holds a short position in the portfolio and assume the daily yield changes follow a normal distribution but are NOT independently distributed across days. Based on the bank's estimates, the DEAR of the portfolio is $300. Further, there is a 5% chance that the bond portfolio value will increase by at least 2.4% or decrease by at least 10.8% over the next 10 days. What is the 10 -day VaR of the portfolio? (Please only provide the magnitude of VaR, i.e. without a minus sign)