What is the duration in years of a portfolio evenly invested in a zero-coupon 18-year bond, a 5-year annual coupon bond with duration of 3.5 years, and a 8-year annual coupon bond with duration of 5.6 years?

A money manager is holding a 15-year semiannual coupon bond with a coupon rate of 14% and current price of $1,000,000. The duration for this bond is 7.4 years when the interest rate is 6%. The interest rate is expected to increase from 6% to 7.2%.

a. What is the modified duration of the bond?

Round your answer to two decimal places

b. What will be the approximate dollar change in the bond price?

$

Round your answer to the dollar

Full VaR

Use the table below at the given level of accuracy:

Critical values for VaR calculations.

	z
10%	1.282
5	1.645
1	2.326

Diamond Inc. is an investment company. One of its portfolios has a current market value of $50,000,000 and its returns follow a normal distribution with a mean of 7% and a standard deviation of 10% per year. At a 90% confidence level

a. What is the portfolio VaR?

$

Round your answer to the dollar. Do NOT use negative sign!

b. What is the the minimum value of the portfolio during the next year?

$

Round your answer to the dollar

a. What is the portfolio ES?

$

Round your answer to the dollar. Do NOT use negative sign!

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