9) The local bank that you are a risk manager has a portfolio of options on a traded asset. The delta of the options is -30 and the gamma is -5. i) Explain what these numbers mean. [5 marks | 100 words] ii) The asset price is 20 and its daily volatility is 1%. Use the quadratic model to calculate the first three moments of the change in the portfolio value. [5 marks | 100 words] ii) Calculate a one-day 99% Value at Risk using the first two moments. [5 marks 100 words] iv) From your answer to point ii above, what can you say about the third moment's impact on value at risk calculation? [5 marks 100 words] v) Calculate a one-day 99% Value at Risk using all three moments. (5 marks 100 words] 9) The local bank that you are a risk manager has a portfolio of options on a traded asset. The delta of the options is -30 and the gamma is -5. i) Explain what these numbers mean. [5 marks | 100 words] ii) The asset price is 20 and its daily volatility is 1%. Use the quadratic model to calculate the first three moments of the change in the portfolio value. [5 marks | 100 words] ii) Calculate a one-day 99% Value at Risk using the first two moments. [5 marks 100 words] iv) From your answer to point ii above, what can you say about the third moment's impact on value at risk calculation? [5 marks 100 words] v) Calculate a one-day 99% Value at Risk using all three moments. (5 marks 100 words]