4 Given 2 assets: A position in Asset A worth 10000 with daily SD = 0.4%. A position in Asset B worth 20000 with daily SD = 0.5%. (assume changes in the value of the portfolio on successive days have independent identical normal distributions with mean zero) (assume there are 260 days in 1 year) Calculate the individual 1 year 99% VaR's Calculate the 1 year 99% VaR of the portfolio if the two assets have correlation coefficient 0.5. What is the incremental VaR of Asset B? What is its marginal VaR? Assume a=2.326 at this level 4 Given 2 assets: A position in Asset A worth 10000 with daily SD = 0.4%. A position in Asset B worth 20000 with daily SD = 0.5%. (assume changes in the value of the portfolio on successive days have independent identical normal distributions with mean zero) (assume there are 260 days in 1 year) Calculate the individual 1 year 99% VaR's Calculate the 1 year 99% VaR of the portfolio if the two assets have correlation coefficient 0.5. What is the incremental VaR of Asset B? What is its marginal VaR? Assume a=2.326 at this level