Could you help giving me an explanation on this financial math problem ? Thank you.

Value at Risk

A bank has written a call option on one stock and a put option on another stock. For the call option the Current price of the underlying stock is $50, the stock's volatility is 28% per annum, and the delta of the call option is 0.6. For the put optiOn the current price of the underlying stock is $20, the stock's volatility is 25% per annum, and the delta is 0.3. The correlation between both stock prices's daily returns is 0.4. Provide by stating a suitable assumption (a) an approximation for the 10-day 99% value-at-risk of the bank's portfolio consisting of the tw0 stock options; (b) an approximation for the 10-day 99% expected shortfall of the bank's portfolio consisting of the two stock options. Hint: Recall that for the standard normal distribution the 99%quanti1e is given by 2.3263