You have a portfolio comprising the following assets:

1) 532 Inditex shares with a unit price of 20.93 /share.

2) 2,047 European call options on Inditex shares; 9-month maturity and strike price of 22 . The estimated volatility of Inditex shares is 47%; the 9-month spot rate is 4%.

3) 60 Treasury Bonds; 9-month maturity and face value of 100 .

It is also known that the standard deviation of the daily return on Inditex shares is 2.97%; the standard deviation of the daily return on the 9-month spot rate is 0.94%. The correlation between both returns is finally -0.0088.

Questions:

a) EstimatethedailyVaRofthisportfolioat99%confidencelevel.

b) Estimate the daily individual VaR of each asset at 99% confidence level. Also estimate the IVaR and the DVaR of each asset in relation to the whole portfolio.

c) Estimate the correlation matrix between the daily return of the three assets in the portfolio. Explain the results in section b) using this matrix.