10-year Japanese government bonds. Which risk factors is this portfolio exposed B. 1-year JPY interest rate to? A. 10-year JPY interest rate C.JPY /USD exchange rate D. NIKI 11. Which of the following methods are nonparametric in calculating VaR? A. Historical Simulation B. Delta-Normal Aproc D. Extreme Value Theory Approach C.Monte Carlo Simulation 12, The daily VaR at 95% confidence level of an asset is S2012. we use the sane data and method to calculate VaRs at other confidence levels. Which of the following might be correct? A. daily VaR at 93% confidence level is S2103 C. daily VaR at 99% confidence level is S2845 B. daily VaR at 975% confidence level is S2397 D.daily VaR at 995% confidence level is S3149 Section 2: Calculations & Questions [64 points in total] 1. 18 points) Suppose you are a risk manager possessing 2012 shares of a stock, and the market price of this stock is S27 per share. The standard deviation of the rate of return is120% per tang day. Assume that the returns are normally distributed, please calculate: a, 1-day relative VaR with a confidence level of 95% b. 1-week relative VaR with a confidence level of 99% 2. 110 points] The following is the histogram of Google stock daily returns from Sep. 21, 2018 to Oct. 19, 2018 a. Analyze whether this histogram can be considered as a normal distribution. b. If we use normal distribution to calculate VaR, shall we overestimate, underestimate or properly capture the risk? Why? Note: The 95% cutoff point ofa chi-square (2) distribution with two degrees of freedom is 599 Series: GOOG Sample 1 252 Observations 252 TO 60 50- 40- 0.000723 Mxdmum Q123845 Mrimum 082643 Std. Dev. 0018128 Skewness 0.909816 Kurtosis 14 90961 Jarque-Bera 1524.075 Probability 0.000000 20 10 0.05 0.00 0.05 0.10