Calculate the Value$-$at$-$Risk for the following portfolio at a $99\%$ confidence level $($scaling factor is

$2\mathrm{.}33)$ for a $10-$day holding period. Is there any diversification benefit?

Calculate the expected loss and portfolio loss volatility for the following portfolio consisting of two

loans assuming that there are only two states of credit events, i$.$e$.$ default or no default and defaults

of individual borrowers are independent from each other.