Estimate the 5-day 99 var and es for the portfolio assuming


"Calculate the price of an option that caps the three-month rate, starting in 15 months’ time, at 9.25% (quoted with quarterly compounding) on a principal amount of $1,000. The forward interest rate for the period in question is 8.4% per annum (quoted with quarterly compounding), the 18-month risk-free interest rate (continuously compounded) is 8.1% per annum, and the volatility of the forward rate is 15% per annum investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. Estimate the 5-day 99% VaR and ES for the portfolio assuming normally distributed returns."

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Financial Management: Estimate the 5-day 99 var and es for the portfolio assuming
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