A trader bought 100 shares of X, quoted at bid $15 and offer $16.5. The trader also bought 150 shares of Y, quoted at bid $10 and offer $13. The mean and standard deviation for the bid-ask spread for share X are 1 and 2 (respectively). The mean and standard deviation for the bid-offer spread for share Y are 0.5 and 1 (respectively).
a. What is the cost of liquidating each of the shares at the 99% confidence level under Normal market conditions?
b. What is the cost of liquidating each of the shares at the 99% confidence level under Stressed market conditions?