A portfolio's daily losses have a mean of $1.5 million and a standard deviation of

$18 million. Calculate the 1-day and 10-day 97% VaR and ES (expected shortfall).

For the 10-day VaR and ES, please use both the precise and the approximate

formulas. Suppose now the daily losses in the portfolio's value have a first-order

serial correlation of 0.35. Calculate the 5-day, 98% VaR and ES using both the

precise and approximate formulas. Re-do the calculations (without showing the

interim steps) for the 5-day, 98% VaR and ES using the precise formula when the

serial correlation is 0.15, 0.55 and 0.75. What can you conclude?