The assignment will be marked based on (1) How you arrive at the solution, (2) Is the solution logical, consistent with the materials taught in class? (3) The presentation of your results. Remember, you must present your work in a clear and concise manner. How you communicate your work visually and verbally matters. You are require to submit a spreadsheet with your calculations for the numerical questions and a separate document with the answer for the conceptual questions and where you show the key steps involved to get the solution of the numerical questions.

Question 2 (20 points) A portfolio manager estimates that the volatility of her daily portfolio returns is 1.2%. She also expects this portfolio to bring a return of 6% per year. Assume that there are 252 trading days in a year. The current value of her portfolio is $10,000,000. (a) (5 points) Calculate a 5-dayr VaR {$) at the 97,555: condence level (1)) (5 points) What is the 95% confidence interval of the value of this portfolio after 20 days? (e) (5 points) Suppose the value of a portfolio dropped by $555,000 in 10 days. What is the chance of this happening? (d) (5 points) Up to what horizons (number of days) can she hold this portfolio with a 99% confidence that her total loss will not be more than 30%? Show your work. State your answer in number of days