Yes - Singapore is heaven on earth. So clean and full of greenery all over! This is my second visit after five years. My brother and his family are Permanent residents of Singapore. Have a well deserved vacation in Japan :)
I don't find any problem with the wording of the question. It says that the "worst 5 losses in the past 100 trading days". Also, although not explicitly mentioned in the question, sometimes the portfolio is traded less actively, and some of the instruments in the portfolio are...
There are two parts to this question:
(1) Finding the price of the 7% coupon bond which is $101.30, and
(2) Finding the price of the 4.5% coupon bond which is $96.55*
*Please note that you can get the $96.55 price for the 4.5% coupon bond whether you go,
*Long 5% coupon plus short...
I found this article on GARP to be a useful summary of challenges facing market risk modelers in adapting their models to the FRTB