Question: PROBLEM 1. [5 points] Value-at-Risk (VaR). The random variable Y measures the change in market value of a portfolio during a given time period. The

PROBLEM 1. [5 points] Value-at-Risk (VaR). The random variable Y measures

PROBLEM 1. [5 points] Value-at-Risk (VaR). The random variable Y measures the change in market value of a portfolio during a given time period. The variable Y is assumed to be normal with N(u,0%). (a) Calculate the VaR (Value-at-Risk) with confidence level 1 a, 0

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