Question 3 + Consider a fund made of two portfolios, A and B. The five-day $-changes in the values of either portfolio are independent, identically distributed. Furthermore, the distributions are normal. The standard deviation of the five- day changes in the value of portfolio A is $273,000, its five-day mean is $15,000. ~ a) Calculate portfolio A's one-day 95% VaR and one-day 99% VaR (5 marks) b) Calculate portfolio A's one-day 95% ES and one-day 99% ES.~ (5 marks) Page 2 of 64 L c) Suppose that portfolio B's five-day 99% ES is $449,000 and the mean of its five-day $- change in value is $9,000. Assume further that the correlation between the changes in the values of the two portfolios is-73%. Calculate the two portfolios' aggregate one-day 99% ES.~ (5 marks)+