a) Define value at Risk. (2) b) State three methods of estimating Value at Risk (3) Using the information below: Security Standard Deviation of daily returns Mean daily returns Covariance of daily returns Security A 0.015 0.00061 0.000105 Security B 0.011 0.00035 Portfolio is split as follows: 60% invested in Security A and 40% invested in Security B? Calculate the following: i) Mean daily portfolio return (2) ii) Variance of the portfolio return (4) iii) Standard deviation of portfolio return (2) iv) Calculate 5% daily VAR for a USD5 million portfolio (3) v) Estimate the 5% annual VaR for a USD5 million portfolio(4) c) Identify THREE advantages and TWO limitations of VAR (5)