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The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of $2

The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of $2 million. \

(a) Calculate the VaR and ES for a confidence level of 98% and a time horizon of one month.

(b) Assume that monthly returns are independent and identically distributed (iid). Calculate the VaR and ES for a confidence level of 98% and a time horizon of three months.

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