Question: Consider an investment whose annual return is normally distributed with a mean of 7% and a standard deviation of 12%. (a) What is the 99%

Consider an investment whose annual return is normally distributed with a mean of 7% and a standard deviation of 12%. (a) What is the 99% value at risk on the investment? Please express your answer as a percentage, to the nearest ten basis points. VaR0.99= % (b) If I invest in this asset, how much should expect to lose in my worst year out of 100 ? Please express your answer as a percent, to the nearest ten basis points. %

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