You are a risk analyst currently working for Copula Bank. You are asked to perform a number of tasks by your direct manager. You are examining a $100,000 portfolio, which contains two assets: Asset A and Asset B. The expected returns are 9% and 10%, respectively. The standard deviations are 18% and 20%, respectively. The correlation between the returns on A and B is estimated at 0.2. You have made the following assumption: (a) Calculate the 5% VaR of a 50-50 holding portfolio in A and B using the analytical approach. Show your calculation steps to receive full marks. [3 marks] (b) Compare the advantages/disadvantages between the analytical VaR method and the Monte Carlo simulation. [2 marks] Assume your company has the following revenue figures from three lines of business: trading and sales, commercial banking and retail banking. Year 2 Trading and sales Commercial banking Retail banking Annual gross revenue (Smil) 200 1 3 -50 110 200 150 120 140 100 70 60 300 400 (c) Calculate the operational risk capital requirement under the Basic Indicator Approach (BIA) and the Standardized Approach (TSA). [2 marks] (d) Discuss the key differences between the Standardized Approach (TSA) and the Advanced Measurement Approach (AMA) for the purposes of operational risk measurement. [3 marks]