Suppose that we are on January 26, 2021 and we want to compare risks in the next-day return between Hang Seng index and S&P 500 index. To calculate the risk measures, we use historical prices of the index from January 26, 2020 to January 26, 2021. Tips You can download the data from Yahoo Finance. The ticker for Hang Seng index is HSI and the ticker for S&P 500 index is GSPC. Use adj (adjusted) close prices to calculate daily returns. Due to difference in the holiday schedule, the numbers of daily observation may di?er between these two indices. You can just ignore this difference.

(a) What is 10% Value at Risk for the daily return on Hang Seng index? What is 10% Value at Risk for the daily return on S&P 500 index? (b) According to the VaR in (a), which stock index is riskier? (c) What is the Expected Shortfall at 10% on Hang Seng index? In other words, what is the expected return under the condition that the return is lower than the 10% VaR? What is the Expected Shortfall at 10% on S&P 500 index? (d) According to the Expected Shortfall in (c), which stock index is riskier?