VaR for a ₹1 crore Nifty portfolio

Daily volatility is 1.3%; ignore the mean. (a) Compute the 1-day 99% and 99.9% VaR and the 99% Expected Shortfall under normality. (b) Compute the 99% and 99.9% VaR under a Student-$t$ with $\nu = 4$ matched to the same volatility. (c) Show that under normality the 97.5% ES is almost equal to the 99% VaR. Why might a regulator still prefer ES? (d) The 10-day 99% VaR is often computed as $\sqrt{10}$ times the 1-day figure. State two reasons, from this module, why that understates risk.