You are an investment analyst in the chosen financial institution. The financial institution has the following investments as of 30 December 2018:

Equity investment of AUD 150 million (This investment mirrors the return of the S&P/ASX All Ordinaries Index)

Investment in 10-year Commonwealth government securities (CGS) of AUD 100 million

Investment in the Certificate of Deposit issued by HSBS in London of GBP 25 million.

Quesiton:

(a) Calculate the 10-day equity VaR of the financial institution as of 30 December 2018, using the variance-covariance method at 1% significance.

(b) Calculate the 10-day fixed income VaR of the financial institution as of 30 December 2018, using the variance-covariance method at 1% significance.

(c) Calculate the 10-day foreign exchange VaR of the financial institution as of 30 December 2018, using the variance-covariance method at 1% significance.

(d) Calculate the 10-day portfolio VaR of the financial institution as of 30 December 2018, using the variance-covariance method at 1% significance. The portfolio VaR should be computed using equity, fixed income, and foreign exchange positions of the financial institution.