a) What are the 3 common method to calculate VaR? what are their advantages and disadvantages for each method? (6 points) Consider a position consisting of a $800,000 investment in gold and a $530,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.4% and 2.6% respectively, and that the coefficient of correlation between their returns is 0.75. b) What is the 10-day 99% VaR for the portfolio? (10 points, please show your working) By how much does diversification reduce the VaR, if any? Explain. (4 points) c) (given N(-2.33)=0.01, N(-1.96)=0.025, N(-1.65)=0.05, where N(x) is the cumulative probability distribution function for a standardized normal distribution.) a) What are the 3 common method to calculate VaR? what are their advantages and disadvantages for each method? (6 points) Consider a position consisting of a $800,000 investment in gold and a $530,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.4% and 2.6% respectively, and that the coefficient of correlation between their returns is 0.75. b) What is the 10-day 99% VaR for the portfolio? (10 points, please show your working) By how much does diversification reduce the VaR, if any? Explain. (4 points) c) (given N(-2.33)=0.01, N(-1.96)=0.025, N(-1.65)=0.05, where N(x) is the cumulative probability distribution function for a standardized normal distribution.)