2. Suppose a financial institution has bought 5 million shares of one company. Under the stressed market, 10 observations for the bid and ask price of the stock were obtained from the market, such that the overall average mid-price of the stock is $31.5848. The information has been listed in the following table. Proportional bid-ask spread Bid Ask price price 30.1662 31.2166 32.4832 33.1313 32.3967 33.1325 30.4441 30.5996 30.0387 31.4019 31.0805 31.6869 31.3063 32.476 30.9089 31.0717 32.4196 32.8866 30.9023 31.9454 0.0342 0.0198 0.0225 0.0051 0.0444 0.0193 0.0367 0.0053 0.0143 0.0332 a. Define proportional bid-ask spread? b. What is the mid-market value of the position in the shares? c. What is the cost of liquidation of this asset that we are 90% confident will not be exceeded, without using the normality assumption on the proportional bid-ask spread? d. What is the answer of (C) if we assume normality on the proportional bid- ask spread, given Z = 1.282. 2. Suppose a financial institution has bought 5 million shares of one company. Under the stressed market, 10 observations for the bid and ask price of the stock were obtained from the market, such that the overall average mid-price of the stock is $31.5848. The information has been listed in the following table. Proportional bid-ask spread Bid Ask price price 30.1662 31.2166 32.4832 33.1313 32.3967 33.1325 30.4441 30.5996 30.0387 31.4019 31.0805 31.6869 31.3063 32.476 30.9089 31.0717 32.4196 32.8866 30.9023 31.9454 0.0342 0.0198 0.0225 0.0051 0.0444 0.0193 0.0367 0.0053 0.0143 0.0332 a. Define proportional bid-ask spread? b. What is the mid-market value of the position in the shares? c. What is the cost of liquidation of this asset that we are 90% confident will not be exceeded, without using the normality assumption on the proportional bid-ask spread? d. What is the answer of (C) if we assume normality on the proportional bid- ask spread, given Z = 1.282