The one-day 99% VaR is calculated for the four-index example in Section 22.2 as $253,385. Look at

Question:

The one-day 99% VaR is calculated for the four-index example in Section 22.2 as $253,385. Look at the underlying spreadsheets on the author's website and calculate the a) the one-day 95% VaR, b) the one-day 95% ES, c) the one-day 97% VaR, and d) the one-day 97% ES.