Suppose the daily return R on a stock satisfies R = Mu + LambdaY where Mu and lambda are fixed and Y has a t distribution with v degrees of freedom. (a) If you hold S0 position is this stock, show that for a one day VaR(alpha) =-S0(Mu+lambdatalpha,v) where talpha,v is the alphath quantile of the t-distribution with v degrees of freedom. (Hint: P(L > VaR(alpha)) = and L =-S0R) (b) If S0 = 100000, Mu= 0.04 and lambda= 0.01, what is VaR(0.05) if v = 10. Suppose the daily return R on a stock satisfies R = Mu + LambdaY where Mu and lambda are fixed and Y has a t distribution with v degrees of freedom. (a) If you hold S0 position is this stock, show that for a one day VaR(alpha) =-S0(Mu+lambdatalpha,v) where talpha,v is the alphath quantile of the t-distribution with v degrees of freedom. (Hint: P(L > VaR(alpha)) = and L =-S0R) (b) If S0 = 100000, Mu= 0.04 and lambda= 0.01, what is VaR(0.05) if v = 10