ider a portfolio with two foreign currencies, the U.S. dollar (USD) and the euro (EUR). These two 4. 112 points] Cons currencies have a standard deviation against MOP of O 40% and 1.80%, respectively. The portfolio has MOP 2 million invested in the USD and MOP 3 million in the EUR. We'd like to calculate the portfolio VaR at the 93 level. a. Assume that the two currencies are uncorrelated, what is the portfolio VaR? the two currencies are perfectly correlated, what is the portfolio VaR? c. Assume that the correlation coefficient is 0.2, what is the portfolio VaR? 5. [12 points! Consider a long position of S10 million in a stock index. The estimated standard deviation is 1.50% per trading day from 450 samples, we estimate the daily VaR at 99% confidence level to be $348,900 based on Delta-Normal Method. what is the confidence band around the estimated VaR at 95% confidence level