Question: 3. Risk identification: (25 marks) In this part you should discuss the risk profile of your portfolios. On Monday, March 29th, 2021, use daily stock

3. Risk identification: (25 marks) In this part you should discuss the risk profile of your portfolios. On Monday, March 29th, 2021, use daily stock prices since 15 June 2017 for the calculation of the VaR. The discussion should include the following points: a. Calculation and discussion of the five-day 99%-Value at Risk of your portfolio A using model- building approach. (8 marks) b. Calculation and discussion of the five-day 99%-Value at Risk of your portfolio B using historical simulation approach. (12 marks) c. Discuss the the two approaches in a and b, based on your calculation procedure, VaR results and actual returns. (5marks)

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