The volatility of SBN company is 1.5% per day and the size of the position is $6 million. Assuming that the change is normally distributed, find a one-day 97% VaR and 10-day 90% VaR.

Consider a portfolio consisting of $4 million invested in Stock Fund and $6 million in Bond Fund. The daily volatility of Stock Fund is 1% and the daily volatility of Bond Fund is 2%. The correlation coefficient between two funds is -0.4 and they are normally distributed.

A.) Find the 10-day 99% VaR.

B.) Find the diversification benefit.