= ( :( Suppose that the daily returns (RA, RB) on Stocks A and B have a bivariate normal distributions 0.0002 0.0003 and variance 0.0003 0.0002 0.0002 0.0004 This implies in particular that RAN(0.0002, 0.0003), RB ~ N(0.0003, 0.0004) and for any a and b, aRA+bRo ~ N(0.0002a +0.00035, 0.0003a +0.000462 +0.0004ab) (a) (3pt) Suppose that you hold a $1000 position in Stock A (ie So 1000), compute VaRA(0.05) (b) (3pt) Suppose that you hold a $1000 position in Stock B (i.e So 1000), compute VaRB(0.05) (c) (4pt) What is VaR(0.05) of a portfolio holding 500 is Stock A and 500 in Stock B? = ( :( Suppose that the daily returns (RA, RB) on Stocks A and B have a bivariate normal distributions 0.0002 0.0003 and variance 0.0003 0.0002 0.0002 0.0004 This implies in particular that RAN(0.0002, 0.0003), RB ~ N(0.0003, 0.0004) and for any a and b, aRA+bRo ~ N(0.0002a +0.00035, 0.0003a +0.000462 +0.0004ab) (a) (3pt) Suppose that you hold a $1000 position in Stock A (ie So 1000), compute VaRA(0.05) (b) (3pt) Suppose that you hold a $1000 position in Stock B (i.e So 1000), compute VaRB(0.05) (c) (4pt) What is VaR(0.05) of a portfolio holding 500 is Stock A and 500 in Stock B