Exercise 4 (15 points) Suppose that each of two investments has a 1.5% chance of a loss of $5 million, a 4.5 % chance of a loss of 2 million, and a 94% chance ofa profit of $2 million. They are independent of each- other. a. What is the one-day VaR for one of the investments when the confidence level is 95%? 99%? (5 points) b. What is the 10-day VaR when the confidence level is 95 % ? (3 points) c. What is the one-day expected shortfall when the confidence level is 95%? 99 % ? (5 points) d. Suppose that the one-day VaR of a portfolio consisting of these two investments at a confidence level of 95% is $5 million. Is the subadditivity condition satisfied? (2 points)