4. The table below contains 301 observations with sorted returns and a position of TL50,000. Assume the returns are normally distributed and have a monthly mean of 0.0024 and a variance of 0.0036. a) (17 pts) What is the one-day TL VaR at 99% approximately using the analytical method? 3 b) (17 pts) What is the expected shortfall in TL when historical simulation is used at 95% confidence level? Day Date Sorted returns Day 0 1 Jan 2 Jan 3 Jan 4 Jan 5 Jan 6 Jan 9 0.066 0.065 0.063 0.062 0.061 4 5 : 289 290 291 292 293 294 295 296 297 298 299 300 Date Sorted returns March 16 -0.014 March 17 -0.015 March 18 -0.017 March 21 -0.019 March 22 -0.020 March 23 -0.021 March 24 -0.022 March 25 -0.024 March 28 -0.025 March 29 -0.027 March 30 -0.029 March 31 -0.090 284 285 286 287 288 March 9 March 10 March 11 March 14 March 15 -0.006 -0.007 -0.008 -0.011 -0.012 4. The table below contains 301 observations with sorted returns and a position of TL50,000. Assume the returns are normally distributed and have a monthly mean of 0.0024 and a variance of 0.0036. a) (17 pts) What is the one-day TL VaR at 99% approximately using the analytical method? 3 b) (17 pts) What is the expected shortfall in TL when historical simulation is used at 95% confidence level? Day Date Sorted returns Day 0 1 Jan 2 Jan 3 Jan 4 Jan 5 Jan 6 Jan 9 0.066 0.065 0.063 0.062 0.061 4 5 : 289 290 291 292 293 294 295 296 297 298 299 300 Date Sorted returns March 16 -0.014 March 17 -0.015 March 18 -0.017 March 21 -0.019 March 22 -0.020 March 23 -0.021 March 24 -0.022 March 25 -0.024 March 28 -0.025 March 29 -0.027 March 30 -0.029 March 31 -0.090 284 285 286 287 288 March 9 March 10 March 11 March 14 March 15 -0.006 -0.007 -0.008 -0.011 -0.012