For shared index data$-$set, Calculate VaR and Expected shortfall at $99\%$ & $95\%$ confidence level as per

a$)$ Historical simulation $($BRW$)$ method equal weight

b$)$ Historical simulation $($BRW$)$ method with weight. $($Take lambda value as $0\mathrm{.}97).$

c$)$ Following are the portfolio weight:

Portfolio X Y Z A

Investments $4000300010002000$