11. Honky Tonk Central Inc. has a position in a stock portfolio comprising the companies listed in Table 1. Correlation coefficients between stock returns are given in the correlation matrix. Table 1 Stock Tootsie's Layla's Robert's Position ($m) 23 Daily Volatility 1.00% 19 16 1.45% 1.34% Robert's Correlation Matrix Tootsie's Layla's Tootsie's 1 0.60 Layla's 1 Robert's 0.65 0.75 1 (a) Calculate the 10-day 99% value at risk (VaR) for the portfolio and interpret your results. (40 marks) (b) Calculate the 10-day 99% VaR for equivalent positions in the individual assets and demonstrate the benefits of diversification. (20 marks) (c) Discuss the benefits and limitations of the model building approach to VaR. (40 marks) 11. Honky Tonk Central Inc. has a position in a stock portfolio comprising the companies listed in Table 1. Correlation coefficients between stock returns are given in the correlation matrix. Table 1 Stock Tootsie's Layla's Robert's Position ($m) 23 Daily Volatility 1.00% 19 16 1.45% 1.34% Robert's Correlation Matrix Tootsie's Layla's Tootsie's 1 0.60 Layla's 1 Robert's 0.65 0.75 1 (a) Calculate the 10-day 99% value at risk (VaR) for the portfolio and interpret your results. (40 marks) (b) Calculate the 10-day 99% VaR for equivalent positions in the individual assets and demonstrate the benefits of diversification. (20 marks) (c) Discuss the benefits and limitations of the model building approach to VaR. (40 marks)