The following information relates to questions 3-8:

Suppose that the value of an index of the stock market increases on average about 0.02% per day (calculated with continuous discounting) and a volatility (i.e., standard deviation) of 1.2% per day.Assume that the returns are Normally distributed.

(Note: Enter your answer to questions 3-8 rounded to the nearest 2 decimals, but no % sign.For example, -1.2345% should be entered as -1.23).

3.What would be the 95% Daily Value at Risk (VaR) expressed as a percent return?(5 points)

4.What would be the 95% Daily Expected Shortfall (ES) expressed as a percent return?(5 points)

5.What would be the 97% Daily Value at Risk (VaR) expressed as a percent return?(5 points)

6.What would be the 97% Daily Expected Shortfall (ES) expressed as a percent return?(5 points)

7.What would be the 97% Weekly Value at Risk (VaR) expressed as a percent return?Assume a Normal distribution and no autocorrelation (i.e., each day has the same standard deviation and is independent of the following days).Also assume five trading days per week, and that weekends do not have a significant impact.(5 points)

8.What would be the 97% Weekly Expected Shortfall (ES) expressed as a percent return?Again, assume a Normal distribution and no autocorrelation (i.e., each day has the same standard deviation and is independent of the following days).Also assume five trading days per week, and that weekends do not have a significant impact.(5 points)