The calculations in Section 15.3 assume that the investments in the DJIA, FTSE 100, CAC 40, and Nikkei 225 are $4 million, $3 million, $1 million, and $2 million, respectively. How does the VaR calculated change if the investment is $2.5 million in each index? Carry out calculations when

(a) volatilities and Market Risk VaR: The Model-Building Approach 345 correlations are estimated using the equally weighted model and

(b) when they are estimated using the EWMA model with  = 0.94. Use the spreadsheets on the author’s website.

AppendixLO1