Question: Define the c%-VaR to be the value |v| such that there is only a c% chance that the loss from an investment will be greater

Define the c%-VaR to be the value |v| such that there is only a c% chance that the loss from an investment will be greater than c.

a). Derive a formula for 5%-VaR on an investment with gain G that is normally distributed with mean mu and standard deviation sigma.

b). If G has mean mu = 15 and sigma = 1.8, compute the 5%-VaR on this investment.

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