Assume that the daily change in the value of the vegetable trading portfolio follows a normal distribution with an expected value of 0 and a standard deviation of $2 million: (N^-1(0.99) to 2.326, N^-1(0.975) to 1.96

a) What is the 97.5% VaR for a 1-day look-ahead period? What is the ES of 99% for a 1-day look-ahead period?

b) Assuming that the intra-day changes in trading portfolio values are independent of each other and follow the same normal distribution, what is the 97.5% VaR for the 5-day outlook period?

What is the 97.5% VaR for the 5-day outlook period and what is the 99% ES for the 5-day outlook period?

c) If the first-order autocorrelation coefficient of the daily change in value is equal to 0.16, the

d). What should be the valley case in

all information already in.

(N1(0.99)2.326,N1(0.975)1.96