Part 5 [16 Marks]: Given the recent volatility, you are also concerned about the stability of estimated coefficients and distributional assumptions made in your analysis. For this question, focus ONLY on your BTC and MQG positions, with $100,000 invested into each security - i.e. for this question, you will be working with a $200,000, two-security portfolio. a) Stress test the correlations of the portfolio using the copula technique discussed in class. First, map the empirical returns (PDF) into standard uniform variables (CDF). Then simulate returns by sampling from either a Gaussian or a Student-t joint distribution using appropriate copula parameters and then map the simulated returns back into their original empirical marginal distributions to calculate VaR and ES. (5 marks) A B C D E F Start Date 11/04/2014 2 End Date 10/04/2024 3 XBTUSD Curncy MQG AU Equity AUDUSD Curncy MQG AU 5 C190 Equity MQG AU 5 P190 Equity Bitcoin Stock Exchange rate Call option Put option 6 Dates PX LAST PX LAST PX LAST PX LAST PX LAST 7 11/04/2014 426.53 56.37 0.9397 8 14/04/2014 426.53 55 0.9424 9 15/04/2014 517.6 55.15 0.9362 10 16/04/2014 527.14 55.8 0.9371 11 17/04/2014 496.81 55.97 0.933 12 18/04/2014 476.17 55.97 0.9333 13 21/04/2014 503.18 55.97 0.9328 14 22/04/2014 496.18 55.76 0.9367 15 23/04/2014 492.02 56.77 0.9291 16 24/04/2014 476.52 56.54 0.9264 17 25/04/2014 462.59 56.54 0.9281 18 28/04/2014 439.17 57.1 0.9258 19 29/04/2014 447.81 57.77 0.9268 20 30/04/2014 448.23 57.7 0.9287 21 1/05/2014 460.93 58.2 0.9274 22 2/05/2014 451.51 58.7 0.9277