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Exercise 2 Consider two stocks whose log-returns are multivariate normal with annualised volatilities 01 = 0.2, 02 = 0.25 and correlation p = 0.4. You may assume that the mean returns of the are equal to zero and that the year has 250 trading days. Compute the VaR and ES at probability level o = 0.975 of the linearised loss Le , of a portfolio with initial value V. = 1000 000 and constant portfolio weights w1 = 0.6, w2 = 0.4. How do the results change if p = -0.4, p = 0, p = 1