Suppose an investor holds an equity index portfolio of DJIA, FTSE, CAC 40 and Nikkei 225. Assume that DJIA and FTSE have a 10-day liquidity horizon, CAC 40 has a 40-day liquidity horizon, and Nikkei 225 has a 20-day liquidity horizon. Consider computing a 10-day 97.5% expected shortfall using the overlapping periods method in conjunction with historical simulation and the cascade approach. a. How many expected shortfalls (ES) need to be computed in this case? (1 mark) b. Carefully describe how to compute each ES. (3 marks) c. How do we aggregate the different ES by adjusting for liquidity horizons? (2 marks)