Consider a portfolio with two assets: asset 1 has current value $1 million and annual volatility 12%; asset 2 has current value $2 million and annual volatility 24%. Assuming that returns are normally distributed and there are 250 working days per year, calculate 5-day VaR of this portfolio with 99% confidence level.

Perform calculations for the asset correlation coefficient equal to

(a) 0.5 and

(b)
0.5.