B) A portfolio is consisting of a position worth $1 million in ABC shares, and N=10 and X=99, we are interested to know the loss level over 10 days, that we are 99% confident it will not be exceeded. Assume the volatility of ABC is 2% per day. From Z Table (one-tailed test), we can find that = 2.326 at 1% significance level.

i. Compute the standard deviation of daily changes in the value of the position in ABC. [3 marks]

ii. Assuming a normal distribution with mean zero, compute the one-day 99% VaR for the portfolio consisting of a $1 million position in ABC. [5 marks]

iii.Assuming a normal distribution with mean zero, compute the 10-day 99% VaR for ABC. [5 marks]