2: A portfolio manager is computing the VaR of a portfolio consisting in twomarket indices. On an annual basis, the expected return on the first index is 14.59%and the standard deviation is 14.51%. The second index has an expected annualreturn of 15.58%, and a standard deviation of 23.35%. The correlation between theannual returns of the two indices is 0.71. The market value of the first index is$7 million, and the market value of the second index is $3 million. Based on thevariance-covariance method, compute:

the 5% annual and daily VaR

the 1% annual and daily VaR