Question 1 (a) Define Value-at-Risk as a measure of market risk and describe what it means for a measure of market risk to be sub-additive. 20 marks (b) Provide an example showing that Value-at-Risk may not be sub- additive and explain why this may be a problem for risk managers. 50 marks (c) Tail loss can be defined as the expected loss given that loss ex- ceeds VaR. Calculate the tail loss for the example you provided for point (b) and discuss whether this risk measure is sub-additive. 30 marks