Q1. A bank holds a portfolio of 3 assets. The mean returns are 4%, 7% and 12%. The volatility of returns are 8%, 12% and 22%. All three assets have 21% correlation and are normally distributed. The bank invests $5MM, $8MM and $5.2MM. What is the 5% VaR? How much cash must the bank add to its portfolio to make the 5% VaR equal to zero? Q1. A bank holds a portfolio of 3 assets. The mean returns are 4%, 7% and 12%. The volatility of returns are 8%, 12% and 22%. All three assets have 21% correlation and are normally distributed. The bank invests $5MM, $8MM and $5.2MM. What is the 5% VaR? How much cash must the bank add to its portfolio to make the 5% VaR equal to zero