2. Assuming a $10m investment in one stock, compute the 95% and 99% VaR for stocks A and B over 1-day, 10-day, and 20-day horizons.

assume that the risk-free rate is 0.08 and that there are three stocks with a price of $100 and the following characteristics:
α σ δ Correlation with B Correlation with C Stock A 0.15 0.30 0.00 0.25 0.20 Stock B 0.18 0.45 0.02 1.00 0.30 Stock C 0.16 0.50 0.00 0.30 1.00