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12.12 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. Calculate the VaR and ES for a confidence level of 98% and a time horizon of three months. 12.12 The standard deviation in three months is 23=$3.464 million. Also, N1(0.98)=2.054. The 98% three-month VaR is therefore 3.4642.054= www.rasabourse.com Answers to Questions and Problems 723 $7.11 million. The 98% three-month ES is 3.464exp(2.0542/2)/(2 0.02)=$8.39 million