Problem 5: Given the following data on your actual cumulative distribution of daily returns, versus normal:

Return Actual Cumulative Distribution Normal Cumulative Distribution

(0.0460) 0.40% 0%

(0.0404) 1.00% 0%

(0.0348) 1.20% 0%

(0.0291) 1.60% 0%

(0.0235) 3.20% 1%

(0.0179) 3.20% 4%

(0.0123) 8.40% 12%

(0.0067) 18.80% 26%

(0.0010) 42.00% 46%

0.0046 65.80% 67%

0.0102 80.00% 84%

0.0158 92.40% 94%

0.0214 96.80% 98%

0.0271 99.20% 100%

0.0327 99.30% 100%

0.0330 100.00% 100%

a. Given the additional information that the expected return is zero and the current value of the position is $10 million, calculate VaR at 99%.