17. Calculate the VAR for the following situations:

a. Use the analytical method and determine the VAR at a probability of 0.05 for a portfolio in which the standard deviation of annual returns is $2.5 million. Assume an expected return of $0.0.

b. Use the historical method and the following information for the last 120 days of returns to calculate an approximate VAR for a portfolio of $20 million using a probability of 0.05:

Less than ---0% -10% to -5% -5% to 0% 0% to 5% 5% to 10% Greater than 10% 5 18 42 96 15 4