Explain Steps Clearly :

A position in Asset A worth 10000 with daily SD = 0.4%.

A position in Asset B worth 20000 with daily SD = 0.5%.

(assume changes in the value of the portfolio on successive days have independent identical normal distributions with mean zero)

(assume there are 260 days in 1 year)

Calculate the individual 1 year 99% VaRs

Calculate the 1 year 99% VaR of the portfolio if the two assets have a correlation coefficient of 0.5.

What is the incremental VaR of Asset B?

What is its marginal VaR?

Assume =2.326 at this level