A passive long only Equity portfolio Manager with asset under management (AUM) of $ 1.5 Billion has the following investments:

Index	Google Ticker	Yahoo Ticker	Currency	% of Portfolio
Dow Jones	INDEXDJX:DJI	^DJI	USD	20%
S&P 500	INDEXSP:INX	^GSPC	USD	30%
FTSE 250	INDEXFTSE:MCX	^FTMC	GBP	15%
TSX 100	INDEXTSI:OSPTX	^GSPTSE	CAD	5%
DAX performance	INDEXDB:DAX	^GDAXI	EUR	10%
CAC 40	INDEXEURO:PX1	^FCHI	EUR	10%
SENSEX	INDEXBOM:SENSEX	^BSESN	INR	10%

Table 1: Passive Portfolio Position

The Manager is interested in knowing:

a)VaR at 99%

b)Var at 99.5%

c)ES at 99%

d)ES at 99.5%

The manager asks the risk analyst ^[1]to construct the following scenarios:

1a) Using the past five years of data compute the VAR and ES at 99% and 99.5% using historical simulation method?

1b) Using the past five years of data compute the VAR and ES at 99% and 99.5%. Assume that the losses/gains are normally distributed with mean = mean of Losses/gains and SD = standard Deviation of Losses/gains.

[1] The data for the index is provided in which currency is quoted indirectly (1 USD = x local currency)