Exercise 2 (20 points) We recall that 0-(0.01) = 2.326 Question 1 (4 points] Explain in a few sentences what is the T-day(s) Value at Risk at x% (VaR!). Question 2 (4 points) A portfolio has a current value of $1,000,000. The distribution of its daily return is normal with mean y = 1% and standard deviation o = 0.5%. Compute its daily VaR at 99%. Question 3 [3 points) Compute the 5-day VaR at 99% of the portfolio in the previous question Question 4 (4 points) An investor holds a portfolio consisting of a $300,000 invest- ment in gold and a $500,000 investment in silver. We assume a normal framework. The daily volatility of gold is 1.8%, the daily volatility of silver is 1.2% and the coeffi- cient of correlation between the returns of those two assets is 0.6. Compute the daily VaR at 99% of the portfolio. Question 5 [5 points) Compute the value of diversification in the portfolio of the previous question. Exercise 2 (20 points) We recall that 0-(0.01) = 2.326 Question 1 (4 points] Explain in a few sentences what is the T-day(s) Value at Risk at x% (VaR!). Question 2 (4 points) A portfolio has a current value of $1,000,000. The distribution of its daily return is normal with mean y = 1% and standard deviation o = 0.5%. Compute its daily VaR at 99%. Question 3 [3 points) Compute the 5-day VaR at 99% of the portfolio in the previous question Question 4 (4 points) An investor holds a portfolio consisting of a $300,000 invest- ment in gold and a $500,000 investment in silver. We assume a normal framework. The daily volatility of gold is 1.8%, the daily volatility of silver is 1.2% and the coeffi- cient of correlation between the returns of those two assets is 0.6. Compute the daily VaR at 99% of the portfolio. Question 5 [5 points) Compute the value of diversification in the portfolio of the previous