Consider a portfolio that is comprised of two stocks A and B. The position in stock Ais valued at 70,000 and has daily standard deviation of returns of 1%. The stock B position is valued at 250,000 and has daily standard deviation of returns of 2.5% Returns in stock A and B are normally distributed and have correlation-0.6. a) Calculate the 10-day 95% VaR of stock A [10 marks) b) Calculate the 10-day 95% ES of stock A [10 marks) c) Calculate the 10-day 95% VaR of the portfolio. By how much does diversification reduce the VaR? [20 marks) d) Calculate the marginal VaR of each position [20 marks) e) Use your answers to c) and d) and estimate what will be the effect on the portfolio's VaR if you increase the position on stock A by 10%. What do you observe? [10 marks) Consider a portfolio that is comprised of two stocks A and B. The position in stock Ais valued at 70,000 and has daily standard deviation of returns of 1%. The stock B position is valued at 250,000 and has daily standard deviation of returns of 2.5% Returns in stock A and B are normally distributed and have correlation-0.6. a) Calculate the 10-day 95% VaR of stock A [10 marks) b) Calculate the 10-day 95% ES of stock A [10 marks) c) Calculate the 10-day 95% VaR of the portfolio. By how much does diversification reduce the VaR? [20 marks) d) Calculate the marginal VaR of each position [20 marks) e) Use your answers to c) and d) and estimate what will be the effect on the portfolio's VaR if you increase the position on stock A by 10%. What do you observe? [10 marks)