Coursework Brief:This individual coursework assessment consists of two questions. You must answer all questions. The breakdown of marks for each question is provided in squared brackets. You can use the number of words between the questions as you wish (e.g., 500 words for Q1, and 2,000 for Q2; or 1,000 words for Q1, and 1,500 for Q2), but do not exceed the maximum word limit of (2,500).1. (i) Discuss the concept and theory of Value at Risk (VaR) and its shortcomings. [30 marks](ii) Suppose the daily changes for a portfolio have the first-order autocorrelation parameter 0.12. The 10-day VaR, calculated by multiplying the one-day VaR by ?10, is £2 million. What is a better estimate of VaR that takes into account the autocorrelation? [10 marks](iii) The change in the value of a portfolio in three months is normally distributed with a mean of £500,000 and a standard deviation of £3 million. Calculate the VaR and the expected shortfall (ES) for a confidence level of 99.5% and a time horizon of three months.Note: ???1(0.995)=2.576 [10 marks]2. Discuss how financial institutions engage in financial risk management practices. Specifically, discuss the concepts of and provide or discuss some examples:(i) Volatility risk [25 marks](ii) Credit risk [25 marks]
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