Suppose that the daily returns (RA, RB) on Stocks A and B have a bivariate normal distri- butions 0.0002 u= 0.0003 and variance 0.0003 0.0002 = 0.0002 0.0004 This implies in particular that RA ~ N(0.0002, 0.0003), RB ~ N(0.0003, 0.0004) and for any a and b, ara+bRB ~ N(0.0002a + 0.00036, 0.0003a +0.000462 +0.0004ab) (a) Suppose that you hold a $1000 position in Stock A (i.e So = 1000), compute VaRA(0.05) (b) Suppose that you hold a $1000 position in Stock A (i.e So = 1000), compute VaRb(0.05) (c) 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 distri- butions 0.0002 u= 0.0003 and variance 0.0003 0.0002 = 0.0002 0.0004 This implies in particular that RA ~ N(0.0002, 0.0003), RB ~ N(0.0003, 0.0004) and for any a and b, ara+bRB ~ N(0.0002a + 0.00036, 0.0003a +0.000462 +0.0004ab) (a) Suppose that you hold a $1000 position in Stock A (i.e So = 1000), compute VaRA(0.05) (b) Suppose that you hold a $1000 position in Stock A (i.e So = 1000), compute VaRb(0.05) (c) What is VaR(0.05) of a portfolio holding 500 is Stock A and 500 in Stock B? (