VaRy = E(A) .no Vars= Ve (vady) ke the following information to answer Q1-04 Brink presents an alternative approach to estimate VaR for Fund Y. Fund Y has assets of USD 213 million. Brink's Historical VaR analysis indicates that Fund Y's average monthly retum over the past 10 years is 1.16% with a monthly standard deviation of 2.51%. The 10 worst monthly returns during that period are shown in the fable 1 0.5 Table 1: Ten Worst Monthly Returns for Fund Y over the Past 10 Years Jul 2008 Aug Sep Sep Sep Dec Jun 2009 Oct Jun 2011 Aug 2008 2009 12011 2013 2008 2008 2013 -11.566 -10.87% -9.53% 8,47% -7.24% -6.9296 5.37% 14.71% -3.98% 2.7296 2 1. Calculate the 5% monthly VaR (in %) for Fund Y using the analytical method. (2 Marks) a-3.21% b. -2.98% c. -2.549 d. -4.68% 2. Calculate the 5% monthly VaR (in USD) for Fund Y using the analytical method. (2 Marks) a. -6.35 million b.-9.99 million c.-14.74 million d.-15.42 million 3. Calculate the 5% monthly VaR (in %) for Fund Y using the historical method. (2 Marks) a. -8.47% b. -7.24% c. -6.92% d. -5.37% 4. Calculate the 5% monthly VaR (in USD) for Fund Y using the historical method. (2 Marks) a.-18.04 million b. -15.42 million c.-14.74 million d. -11.44 million 5. All of the following are sources of non-financial risk EXCEPT: (1 mark) a commodity prices b. accounting practices c. regulations 2 Page