Exercise 2.5 Given the following portfolio One unit of stock S with initial value $50 $50 in a money market (MM) account (Risk-free) Other assumptions Risk free rate term structure of 3% flat o Model as a Hull-White process with a=0.10 and sigma = 0.01 Stock Real World (RW) growth rate of 8% Stock RW volatility of 15% Implied volatility of 20% Simulate 100 RW scenarios and calculate the following. a) What is the VaR and Expected Shortfall of this portfolio in 1 year? b) What is the VaR and Expected Shortfall of the same portfolio if you rebalance each month to the original 50%/50% split between S and MM? Exercise 2.5 Given the following portfolio One unit of stock S with initial value $50 $50 in a money market (MM) account (Risk-free) Other assumptions Risk free rate term structure of 3% flat o Model as a Hull-White process with a=0.10 and sigma = 0.01 Stock Real World (RW) growth rate of 8% Stock RW volatility of 15% Implied volatility of 20% Simulate 100 RW scenarios and calculate the following. a) What is the VaR and Expected Shortfall of this portfolio in 1 year? b) What is the VaR and Expected Shortfall of the same portfolio if you rebalance each month to the original 50%/50% split between S and MM