# Question

The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 5%.

(a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean?

(b) What is the one-month 99% VaR assuming that the power law applies with a = 3?

(a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean?

(b) What is the one-month 99% VaR assuming that the power law applies with a = 3?

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